Timeline for Do stationary prices need to be differenced for VaR?
Current License: CC BY-SA 4.0
3 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Mar 23, 2021 at 16:21 | vote | accept | CasusBelli | ||
| Aug 3, 2020 at 13:29 | comment | added | CasusBelli | I should emphasize that I’m working with monthly futures contracts — not real time or day ahead prices. Even so, like you said, I was a bit surprised that the data passed the ADF test — I expected volatility to increase with liquidity as the active month approaches and then decrease as the active-month average and such month’s contract prices converge. Otherwise, each contract (eg CAISO NP15 Jan 2021 Off-Peak) has been fitted separately, as no two contracts are iid. | |
| Aug 3, 2020 at 3:42 | history | answered | kurtosis | CC BY-SA 4.0 |