I am would like to create a regression model with different variables however before using these variables in my regression model I would like to transform the variable in order to make it more stationary .The variable that I would like to transform has time varying volatility . So far I have used different scaling techniques to transform my variable but I have not gotten the most desired results .

This is what my variable looks like plotted

enter image description here

As one can see the variable has time varying volatility , what techniques can I use to better transform my variables specifically variables with time varying volatility

  • 1
    $\begingroup$ Do you mean apart from a GARCH model? $\endgroup$
    – kurtosis
    Sep 21 '20 at 19:42
  • $\begingroup$ @kurtosis apart from GARCH yes $\endgroup$
    – Pelumi
    Sep 22 '20 at 0:42
  • 1
    $\begingroup$ Have you thought about breaking it up into two processes, one for the 5 sample mean and a 5 sample standard deviation $\endgroup$ Sep 24 '20 at 17:13
  • $\begingroup$ @JakeFreeman how would you do such a thing can you elaborate on that $\endgroup$
    – Pelumi
    Sep 26 '20 at 3:30

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.