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

Factors contributing in losses in transformer, Factors Contributing in loss...

Factors Contributing in losses in Transformer Factors contributing towards losses in transformer are: - Oversized transformers operating at low loading: Improper selectio

Tunneling effect, what is tunneling effect ? With calculation.

what is tunneling effect ? With calculation.

Satellite Communication, ubmission Deadline: Wednesday, July 7, 2021 Assign...

ubmission Deadline: Wednesday, July 7, 2021 Assignment 2 EE5543 - Satellite Communication Question 1: MEASAT-1 is located at 91.5 o E and operating at the base frequency of 10.982

Calculate the sending end voltage, A 150 km long, 3-phase, 400 kV overhead ...

A 150 km long, 3-phase, 400 kV overhead line is used to transmit 1800 MW to a distribution area at 0.9 power factor lagging. The line parameters per phase and per unit length in st

TTL NAND gate, Q. Explain working of TTL NAND gate? The TTL logic famil...

Q. Explain working of TTL NAND gate? The TTL logic family uses only transistors instead of a combination of transistors and diodes. TTL has the same high and low ranges as DTL.

Electron beam focused to a fine spot, Q. How is the electron beam focused t...

Q. How is the electron beam focused to a fine spot on the face of the CRT? Sol. The functional diagram of an electrostatic focusing arrangement is shown below. The pre-accele

Constant frequency system, Constant Frequency System In this  system c...

Constant Frequency System In this  system chopping period  T is kept constant but the  on time T om is varied. This  system is also referred to pulse with modulation or time

Sections construct in fortan, Q. Sections construct in FORTAN? The sect...

Q. Sections construct in FORTAN? The sections construct is a no iterative work sharing construct which causes structured blocks to be shared among threads in team. Every struct

Linear time invariant, A LIT (linear time-invariant) system, impulse respon...

A LIT (linear time-invariant) system, impulse response h [ n ], is described by: (a) Show the block-diagram representation for this FIR filter (only use multiplier, adder

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