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 thevenin equivalent of the circuit, (a) Find the Thevenin equivale...

(a) Find the Thevenin equivalent of the circuit shown in Figure (a) at the terminals A-B. (b) Determine the impedance that must be connected to the terminals A-B so that it is m

Current-carrying conductors, Q. Current-carrying conductors? Current-ca...

Q. Current-carrying conductors? Current-carrying conductors, when placed in magnetic fields, experience mechanical force. Considering only the effect of the magnetic field, the

Explain the working principle of a triac, Q. Explain the working principle ...

Q. Explain the working principle of a TRIAC. "Triac" is an abbreviation for three terminal ac switch. 'Tri'-indicates that the device has three terminals and 'ac' indicates tha

Electricity hazards in the laboratory, ELECTRICITY HAZARDS IN THE LABOR...

ELECTRICITY HAZARDS IN THE LABORATORY : You've probably read about, or heard of, people falling onto high voltage rails or cables and surviving thousands of volts. As a contra

Define hysteresis, Define Hysteresis Hysteresis is the 'lagging' effect...

Define Hysteresis Hysteresis is the 'lagging' effect of flux density B whenever there are changes in the magnetic field strength H. When an initially unmagnetized ferromagnetic

Electrical fault which might occur in a circuit, Question 1: (a) Descri...

Question 1: (a) Describe the three main types of electrical fault which might occur in a circuit. (b) What is three phase electric power? Give its advantages. (c) Explain th

For parity flag , For Parity Flag  CPRE (Call  on parity even) and C...

For Parity Flag  CPRE (Call  on parity even) and CPO (Call or parity  Odd) Instruction CPE calls the subroutine  from the  specified  memory  location if parity  flag is

Calculate the cost per bit for dram, A silicon foundry produced 1.2 million...

A silicon foundry produced 1.2 million 8-inch wafers in 1997; how many 600 mil die is that?  The foundry is scheduled to produce 20,000 12-inch wafers per month by the year 2001 us

Find imax and imin, Q. (a) In the circuit shown in Figure the zener diode (...

Q. (a) In the circuit shown in Figure the zener diode (with zero zener resistance) operates in its reverse breakdown region while the voltage across it is held constant at VZ and t

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