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 piconet, A collection of devices connected by Bluetooth technology ...

A collection of devices connected by Bluetooth technology in an ad hoc fashion.

Fabrication and testing laboratory, You will manufacture composite beams us...

You will manufacture composite beams using an epoxy matrix (West Systems 105 epoxy resin + West Systems 206 slow hardener) and one of the following reinforcements:  1.  Unidirec

Show the boundary of a word, Q. Show the boundary of a Word? The bounda...

Q. Show the boundary of a Word? The boundary of a Word is defined as either 16-bits or the size of the data bus for the processor, and a Double Word is Two Words. so, a Word an

Drawing, #question what are the types of lines used there and their applica...

#question what are the types of lines used there and their application ..

Minimized circuit using or and and not gate, Given S(F) = A'B +'C'D + C'D +...

Given S(F) = A'B +'C'D + C'D +'A'B + 'A B + 'A 'C + 'A D + 'A C A. DRAW A MINIMIZED CIRCUIT USING ONLY OR AND NOT GATES (2 input gates) B. WRITE THE WIRE LIST Example of a

Give an account on the operation of the oupled amplifier, Q. Give an accoun...

Q. Give an account on the operation of the R-C coupled amplifie r. When a.c. signal is applied to the base of the first transistor, it appears in the amplified form across its c

Knowledge of science and engineering fundamentals, Knowledge of science and...

Knowledge of science and engineering fundamentals Knowledge of basic science and engineering fundamentals is necessary for engineers to develop solution to any complex problem

Electricity and safety, explain appropriate first aid procedure to be follo...

explain appropriate first aid procedure to be followed in case of electric shock

Define transmission-system efficiency, Q. Define Transmission-system effici...

Q. Define Transmission-system efficiency? The transmission-system ef?ciency is de?ned as the ratio of the real power delivered to the receiving-end bus to the real power transf

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