Testing stationarity, Electrical Engineering

Assignment Help:

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).

 

 


Related Discussions:- Testing stationarity

The internal resistance of the zener diode, A 9.1V zener diode has a nomina...

A 9.1V zener diode has a nominal voltage fall at a test current of 28mA. The internal resistance of the zener diode is 5 ohms. Find the voltage drop across the zener diode at zener

Find the total per-phase inductance, A 300 km, 3-phase, 50Hz transmission l...

A 300 km, 3-phase, 50Hz transmission line has spacing as shown in Figure. Each phase of the line consists of a bundle of three conductors. (a) Find the total per-phase inductanc

Define johnson counters to produce a time delay, Define Johnson Counters to...

Define Johnson Counters to Produce a Time Delay? The "serial in-serial out" shift register can be used as a time delay device. The amount of delay able to be controlled by:

Illustrate about transfer functions, Q. Illustrate about Transfer Functions...

Q. Illustrate about Transfer Functions? The transfer function is a means by which the dynamic characteristics of devices or systems are described. The transfer function is a ma

Electronic devices and circuits, Determine the change in IC from 25ºC to 17...

Determine the change in IC from 25ºC to 175ºC for the transistor defined in this table for fixed-bias with RB = 240 k and = 100 due to the S(VBE) stability factor.

Describe watch dog timer and reaction timer, a. Given a timer with a termin...

a. Given a timer with a terminal count and a clock frequency of 10 MHz measure the following: (i) Range & Resolution (ii) Terminal count values needed to measure 3ms interval

Analog, why h parameter used in low frequency transistor amplitfier

why h parameter used in low frequency transistor amplitfier

Discuss the dword assembler directive, Discuss the DWORD assembler dire...

Discuss the DWORD assembler directive with example. DWORD: This defines word type variable. The described variable may have one or more initial values into the dire

What is threaded system, What is Threaded system. Threaded system: At...

What is Threaded system. Threaded system: At times we require implementing an operating system which can process multiple threads. Many threads are handled through the kernel

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd