# Tag Info

Accepted

### Reasons for negative autocorrelation

Looking at transaction prices, they would occur at the market bid if the active part is a seller, and at the ask if the active part is a buyer. With a random flow of sellers and buyers, the price will ...
• 1,412
Accepted

### Is an autocorrelation of the abs returns just a consequence of the volatility burst?

I think @zer0hedge has constructed a clever example by which to demonstrate what is implied by the stylized fact by which volatility begets volatility. It is correct to conclude volatility bursts are ...
• 3,005

### Interpreting ACF

You need to compute the autocorrelation of the log returns $r_t$, not of the prices, $p_t$. The relationship of the log return series to the price series is $$r_t = \log \frac{p_t}{p_{t-1}}$$ The ...
• 5,931

• 1,140

### Detecting stochastic volatility

I'm not a time series expert but one idea occurs to me: look at the distribution of the increments if Z(t). If the w are stochastic , that distribution should have fat tails relative to the ...
• 17.2k

### Is an autocorrelation of the abs returns just a consequence of the volatility burst?

Your code basically implements the assumption that you cited: The volatility of return processes is not constant with respect to time. Whether it's a single burst or some kind of a fancy ...

### Is an autocorrelation of the abs returns just a consequence of the volatility burst?

Such volatility pattern is a well-known stylized fact of financial time series (see Cont, Rama. Empirical properties of asset returns: stylized facts and statistical issues. (2001): 223-236 for more ...
• 1,219

### Stationary Process with autocorrelation in Variance; square root rule

You are correct in that the series is not stationary. The ADF test isn't designed to test for stationarity outside the center of location. You are not going to be able to use the square root rule to ...
• 4,299
Accepted

• 1,727
1 vote

### Running an autocorrelation with blanks?

Are you dealing with overnight rates, such as Fed Funds? In such cases the same rate continues to be paid while the markets are closed. So for example if FF is X on Friday, it means you will earn X ...
• 11.5k
1 vote

### How to use autocorrelation plot to interpret time series data?

There is a multitude of texts which answer this question the easiest and free source is Rob Hyndmans from Monash Universities online text on forecasting, https://otexts.com/fpp2/, the topic is covered ...
• 293
1 vote

### Autocorrelation and frequency of occurence

I recently had trouble with a similar concept and I managed to develop a proof that related probability of successive occurrence with autocorrelation. Interpreting Autocorrelation as probability. Let ...
• 187
1 vote

### Autocovariance of increments of a semimartingale

**please correct me if the math is wrong!! I think upon breaking down the products $E(dX_tdX_s)$, we have the $dtds$, $dtdW_s$ terms which all turns out to be 0. It leaves $E(dW_tdW_s)$ which comes ...
• 609
1 vote

### Interpreting ACF

ACF plot suggests there is autocorrelation which lasts for long time. The series is clearly not stationary. You may try differencing once - return time series, then plot boathouse ACF and PACF.
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1 vote

### How to adjust regression for rolling returns?

It depends how large the overlapping interval is. Conceptually an infinite rolling window is equivalent to the level, and no one would suggest to 'regress on levels and apply Newey West'. I think NW ...
• 4,337

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