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

Low pressure gas hazards, Low Pressure Gas Hazards : Safety screens and wi...

Low Pressure Gas Hazards : Safety screens and wire-mesh guards should be placed round evacuated glassware and safety goggles or a face shield must be worn against the possibility

Cmp compare instruction , CMP Compare Instruction This instruction is ...

CMP Compare Instruction This instruction is used to compare the contents  of register  or memory  with accumulator the contents of the operand remain  unaffected. There are tw

Discuss the dword assembler directive, Discuss the DWORD assembler dire...

Discuss the DWORD assembler directive with example. DWORD: This defines word type variable. The described variable may have one or more initial values into the dire

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

Explain in brief the functions of clock generator chip, Explain in brief th...

Explain in brief the functions of the clock generator chip, 8284. 8284 Clock generator: The 8284 is an ancillary element to the microprocessors. Without any clock generato

Explain data addressing modes available in microprocessors, Explain data ad...

Explain data addressing modes available in microprocessors? Data addressing modes available in microprocessors are given below: Direct Mode Indirect Mode Register Dire

Semiconductor material, Semiconductor Material: Semiconductor is a mat...

Semiconductor Material: Semiconductor is a material that has a conductivity level somewhere between the extreme of an insulator and a conductor   Resistivity of a material

Chemistry, explain why entropy of a gas increases with volume and tempeart...

explain why entropy of a gas increases with volume and tempearture

Calculate the gross torque developed for a flux, Q. A four-pole, dc seriesm...

Q. A four-pole, dc seriesmotor has a lap-connected, two-layer armature winding with a total of 400 conductors. Calculate the gross torque developed for a flux per pole of 0.02 Wb a

Explain the electrical contact materials with examples, Explain the electri...

Explain the electrical contact materials with examples. Electrical contact materials: A number of elements in their pure form as copper, nickel, palladium, molybdenum, platin

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