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1) Use plot of the stock return and consider the Autocorrelation Function to determine the auto-regressive structure of the data and explain why you think the return is stationary.
2) Use the information in (1) to estimate a univariate auto-regressive (AR) model of the return series (at the minimum estimate an AR(1) or AR(2) model).
3) Save the residuals from the model in (1) and use their square to run an auxiliary regression to test for ARCH.
4) Re-estimate the time series model either correcting for ARCH (using the GLS method in the lectures) or by augmenting the model by one or two dummy variables to correct for non-normality (any large shocks in the stock return).
Define Causal System - Discrete Time Systems? A causal system is one which produces an output only when there is an input. All physical systems are causal. In general, a causal
Q. explain the architecture of SS7 and compare with seven-layer OSI architecture. Ans: A block schematic diagram of CCITT no. 7 signalling system is displayed in figure. Sig
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#I want to get lecture notes on Electronic device.and circuits .
What is meant by microcontroller? A device which having the microprocessor with integrated peripherals like memory, serial ports, parallel ports, timer/counter, interrupt contr
When a machine has more than two poles, only a single pair of poles needs to be considered because the electric, magnetic, and mechanical conditions associated with every other pol
Explain the Power Chart The phasor diagram shown in Figure with the x and y axes added, as shown. This diagram may be converted to a 'power chart' by multiplying each phasor in
Consider the circuit of Figure (a), including a dependent source. Obtain the Thévenin equivalent at terminals a-b.
time period measurement
hi, i want to know the transfer function of a radiator
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