0
$\begingroup$

I have a time series that displays time varying volatility how would I take this time series an turn it into a more stationary process enter image description here

this is what the time series looks like , if one can provide r code to help me our that would be really helpful as well

$\endgroup$
  • $\begingroup$ what is it a time series of $\endgroup$ – develarist Sep 28 at 6:37
0
$\begingroup$

As a first step, I would check whether this time series is autoregressive, that is, of the form

$$ y_t = c + \phi_1 y_{t-1} + \ldots + \phi_p y_{t-p} + \varepsilon_t. $$

If this is the only feature of your data, then you should have stationary residuals $\varepsilon$.

| improve this answer | |
$\endgroup$
  • $\begingroup$ I already know this time series is not stationary it has time varying volatility the question I have is how do I make it more stationary . $\endgroup$ – Pelumi Oct 4 at 12:40
  • $\begingroup$ Normally, you do not make a time series stationary, but you look forward to making the residuals as such. As a first step, I would look into autoregression and see what the residuals look like. $\endgroup$ – NicholasLP Oct 4 at 18:25

Your Answer

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

Not the answer you're looking for? Browse other questions tagged or ask your own question.