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

What is autotransformers, Q. What is Autotransformers? In contrast to a...

Q. What is Autotransformers? In contrast to a two-winding transformer, the autotransformer is a single-winding transformer having a tap brought out at an intermediate point. Th

Explain dielectric current, Dielectric: Insulator that is used among th...

Dielectric: Insulator that is used among the two plates of a capacitance is called as dielectric.  Electric field exists in the dielectric and the flux density depends on th

Digital electronics, an 8 bit successive approximation adc has a resolution...

an 8 bit successive approximation adc has a resolution of 20mv. what will be its ouput analogue input of 2.17v

Digital communication systems, Q. Digital communication systems? Today ...

Q. Digital communication systems? Today digital communication systems are in common use, carrying the bulk of our daily information transmission through a variety of communicat

Define the signals in time domain, Define the Signals in Time Domain? T...

Define the Signals in Time Domain? The time domain is the type of visualization that most people are familiar with. This method shows variations of a signal with time. The most

The basic operation of battery, The basic operation of battery  A simpl...

The basic operation of battery  A simple cell comprises two dissimilar conductors (electrodes) in an electrolyte. Such a cell comprises copper and zinc electrodes. An electric

Specific orientation programme, Specific orientation programme: at this st...

Specific orientation programme: at this stage, induction is conducted by the foreman. Induction is specific and requires skill on the part of the foreman. A new employee must be p

Determine the range of the step size, 1. (a) Consider a sinusoidal signal m...

1. (a) Consider a sinusoidal signal m(t) = A cos(2 Π f m t) applied to a delta modulator with step size . Determine the range of the step size so that slope overload will be avoide

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