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

Analog Fundamentals, Module 1 Discussion: Application of operational Amplif...

Module 1 Discussion: Application of operational Amplifier

Diode schematic symbol, Diode Schematic Symbol The diode in figure is ...

Diode Schematic Symbol The diode in figure is a unidirectional device. Electron current just only flows in one direction, against the arrow, corresponding to forward bias. The

Explain the properties of high resistive materials, Explain the properties ...

Explain the properties of high resistivity materials. High resistivity materials: The conducting materials containing resistivity from 10 -6 to 10 -3 ohm-m come under such

Define and explain numerical aperture, Define and explain Numerical apertur...

Define and explain Numerical aperture? Figure shown below shows an incident ray to the fibre, The light bends at two interfaces, one at the air- core interface and the

Power analyser, Explain frequency selective wave analyser with bandwidth

Explain frequency selective wave analyser with bandwidth

Find the minimum practical value frequency, A radar systemuses pulses of du...

A radar systemuses pulses of duration D tomodulate the amplitude of a radio carrierwave. The system can distinguish between targets spaced apart by a distance of d ≥ cD, where c is

P type material - semiconductor material, p type material: p type ma...

p type material: p type material is formed by doping aerial  crystal with impurity atoms having three valance electrons. The diffused impurities with three valence electrons

Draw the logic diagram of an sr latch, Q. Draw the logic diagram of an SR l...

Q. Draw the logic diagram of an SR latch using only NAND gates, and obtain the truth table for that implementation.

Explain generating mode of rotating machines, Q. Explain Generating mode of...

Q. Explain Generating mode of rotating machines? The generating mode has mechanical power input and electric power output. The torque T applied externally to the shaft drives t

Digital electronics, Design a recycling MOD 19 up counter using JK FFs. In ...

Design a recycling MOD 19 up counter using JK FFs. In your design, include the logic circuit diagram and the timing diagram output that counts from 000002 = 010 to 100112 = 1910. C

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