# Questions tagged [lags]

The tag has no usage guidance.

9 questions
Filter by
Sorted by
Tagged with
64 views

### The question is related to the regression analysis - stationarity testing

How to interpret different scenarios in ADF test. Scenarios: ADF Test: Type: None, Drift, Trend What exactly each of the types specify and when to use which 'type' during performing stationarity and ...
265 views

### lead lag relationship among futures, options and stock prices

I have the data of past 10 years of NIFTY (the National Stock Exchange of India) stock, futures and options and I want to show the lead-lag relationship (which reacts first, futures, options or stocks)...
95 views

### What does A(B) mean in time series

So I have been reading some papers regarding time series, mainly from Granger and Engle. I am a bachelor econometrics student, but I have never seen such notation before. For example, A(B)(1-B)x(t) = -...
• 5
496 views

Given two series of data, volatility and returns, is there a way (Excel) of finding which one is the leading factor and lagging factor? Thank you for your help.
• 41
880 views

### Interpreting ACF/PACF of return series

Researching a return series on some currency pairs I grabbed 2 years worth of daily data and got to work trying to fit an ARIMA/GARCH model to it. Fitting the (log) return series: ...
113 views

### VAR models when examining relationships between financial markets

When researchers examine lead-lag relationships between credit default swaps and (as an example) stock markets, many use Vector Autoregressive Models (VAR). They want to find out what market "is ...
• 183
232 views

### volume-returns cross correlation interpretation

I want to find the relationship between volume and price returns in the S&P500. My first thought was to run a cross correlation in order to find who leads and who lags in the relation. It´s my ...
• 121
1 vote
2k views

### Optimal lag length selection criterion in GARCH(p,q) model using MATLAB

As assessed by the title, I'm trying to estimate a GARCH(p,q) model to forecast stock market volatility and, in order to be able to do that, I've to identify the optimal number of lags, p and q, to ...
• 2,486
1 vote