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3
votes
2answers
104 views

Confusion on stationarity vs deterministic trend

Sorry for the newbie inquiry but I'm having a little trouble making sense of stationarity and how a the presence of a time trend impacts this. I'm working on a model for operating margins and as a ...
3
votes
0answers
408 views

Test for stationarity and make use of non-stationary points in financial market?

I have two questions to ask: What are the best methods to determine stationarity in a financial market (such as stocks) using MATLAB? What methods would you recommend to use in order to change from ...
2
votes
0answers
652 views

Does the geometric Ornstein-Uhlenbeck process have stationary variance?

I know that the long run variance of the standard OU process is $\lim_{s\rightarrow \infty}\mbox{Var}(P_{t+s}|P_t) = \frac{\sigma^2}{2\theta}$ I'm using the geometric version of the process. I ...
1
vote
0answers
19 views

How to choose a GARCH model which delivers iid standardized residuals?

For my thesis I first need to examine nine financial time series and fit a conditional volatility model such that the obtained standardized residuals ($z_t = \epsilon_t / \sigma_t$) are approximately ...
0
votes
0answers
27 views

polynomial time trend

I'm attempting to model historic operating margin data and to achieve stationarity I ran the ADF test with 4 lags (quarterly data) and first incorporating an intercept and time trend. The alpha was ...
0
votes
0answers
33 views

johansen cointegration test eviews interpreation

I am not sure whether i am interpreting the cointegration test correct. This is the test result : Because of the probability of the test i understand that my series are cointegrated of order 2. ...