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 do you mean by direct coupling, Q What do you mean by Direct coupling?...

Q What do you mean by Direct coupling? In this method the a.c. output signal is fed directly to the next stage. No reactance is included in this coupling network. Special d.c.

D.c machine, What are the advantages of distributing windings in an alterna...

What are the advantages of distributing windings in an alternator?

Advantages of expert system, Advantages of Expert System The system, on...

Advantages of Expert System The system, once set up, requires to be tested employing data with known outcomes to see if it functions correctly. If it's being used to diagnos

moving average model, Altavox is a manufacturer and distributor of a lot o...

Altavox is a manufacturer and distributor of a lot of electronic instruments and devices, including digital/analog multimeters, function generators, oscilloscopes, frequency counte

Ins increment register pair instruction , INS  Increment Register Pair Ins...

INS  Increment Register Pair Instruction Contents of the registers pair R P will be  incremented by one  and the  result  will be stored  in the  same  register pair. It is

Define some huntington postulates - boolean algebra, Define some Huntington...

Define some Huntington postulates - Boolean Algebra? Postulates 1. Commutative Law (a) A + B = B + A (b) A B = B A 2. Distributive Law (a) A (B + C) = A B + A

Any number system to decimal conversion , Any number System  to Decimal Co...

Any number System  to Decimal Conversion To convert a number in any number system to its  equivalent  decimal number, simply multiple each  digit of the number  with its  posi

Derive the solution of the characteristic equation, For a vehicle suspensio...

For a vehicle suspension, a basic two-degree-of-freedom "quarter-car" model would be slightly more complicated than the spring-mass-damper system I chose to study in Figure 1. The

Construction and operation of enhancement mosfet, Q. Explain the constructi...

Q. Explain the construction and operation of Enhancement MOSFET? The construction of an N-channel enhancement MOSFET is shown in figure below. Two highly doped N + regions are

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