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

Floor number display, It is required that the current floor position be dis...

It is required that the current floor position be displayed as a number 1, 2, or 3 on a seven segment LED display on floor 1, which is quite close to the LCU. Data Storage It

Designing 100 line exchange using uni-selector, Q. Designing 100 line excha...

Q. Designing 100 line exchange using Uni-selector? Here three different designing methods for 100 line exchange are discussed: Design: Strowger switching system is designe

2365 - 305 task a, List four sources of information which are essential to ...

List four sources of information which are essential to the designer of this electrical installation.

Determine the bit-error probability for the two systems, Let both coherent ...

Let both coherent ASK and coherent PSK systems transmit the same average energy per bit interval and operate on the same channel such that E b /N 0 = 18. Determine the bit-error p

Performance mapping & implementation plan - power supply, Importance Perfor...

Importance Performance Mapping & Implementation Plan - Power Supply Another data presentation device in which several managers find appealing is the significance-performance m

Explain total internal reflection, Explain Total internal reflection? T...

Explain Total internal reflection? The refractive index of a medium is defined as the ratio of velocity of light in vacuum to the velocity of light in that medium n x = C/V

Superposition, advantages and disadvantaages of superposition

advantages and disadvantaages of superposition

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