Questions tagged [vector-autoregression]

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Is volume usually regarded as (a) stationary and/or (b)exogenous variable?

If I want to create a VAR model using a stock's returns plus it's volumes: Is volume usually regarded as being a stationary variable? Is volume an exogenous variable of the system, or an endogenous ...
Hiperfly's user avatar
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Understand the white noise condition in Vector Autoregression

In the following vector autoregression model with lag polynomial representation: $$\Phi (L) y_t= \epsilon_t$$ where $Y$ is the vector of endogenous variables, $\Phi$ is the parameters matrix, $\...
Nord1's user avatar
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VAR models for log-returns?

I am wondering if Vector Autoregression (and other autoregressive models) is a sound modelling for the daily (not high-frequency!) log-returns of time series from liquid financial markets. One can ...
mic's user avatar
  • 281
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Impulse response function interpretation

I would need a quick help with Impulse response function interpretation which I have done after Vector autoregression model in stata. I need to understand how to interpret IRF graph or table values ...
rhorvath's user avatar
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