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

Find the percent voltage regulation of the transformer, Q. A 25-kVA, 2400/2...

Q. A 25-kVA, 2400/240-V, 60-Hz, single-phase transformer has an equivalent series impedance of 3.45 + j5.75  referred to the primary high voltage side. The core loss is 120 W. Whe

EEI., explain about heat time curve and cool time curve

explain about heat time curve and cool time curve

States the superposition theorem, The superposition theorem states: 'In...

The superposition theorem states: 'In any network made up of linear resistances and having more than single source of e.m.f, the resultant current flowing in any branch is the

What do you mean by noise, Q. What do you mean by Noise? In any communi...

Q. What do you mean by Noise? In any communication system there are usually two dominant factors that limit the performance of the system: 1. Additive noise, generated by el

Eeprom, advantages and disadvantages

advantages and disadvantages

Difference between write-through and write-back caches, The comparison can ...

The comparison can be made out of two feature 1) Performance and 2) Integrity of Data Write through is better in integrity as it will flush for every writes. Write b

Complete the timing diagram of an sr latch, Complete the timing diagram of ...

Complete the timing diagram of Figure of an SR latch.

What is segmentation, What is segmentation? Segment memory addressing d...

What is segmentation? Segment memory addressing divides the memory in several segments. All of these segments can be seen as a linear memory space. All of these segments are ad

Led, explain about led

explain about led

Silicon Photonics, How does a Mach-Zehnder Modulator work in Silicon?

How does a Mach-Zehnder Modulator work in Silicon?

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