Econ 4140 assignment

Econ 4140 assignment - Econ 4140 Assignment 1 Professor:...

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Econ 4140 Assignment 1 Professor: Razvan D Sufana Section: M Students : Enqi Guo 211342557 Min Yan 207962871 Qun Yin 211244951 Due day: 2012-1-31
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Questioin1 Solution 1 : Based on the graph about the relationship between price and time, we can see the volatility graph is not like a horizontal straight line. When one series is stationary, it should be like E(Yi)=u for all i, but in the picture, the u is changing over time, with time passing by, the prices rise and fall over time. That’s why the daily price series is not stationary. Solution2 : The daily price series is not stationary since φ = -1.33E-6, so that |φ| > 1. Solution3 (Definition): Based on the definition, a process called stationary is the situation that if all aspects of its behavior are unchanged by shifts in time. But, the price and time graph is not like this, that’s why the daily price series is not stationary. Questioin2 Solution1 : Since φ = 0.004145, so that |φ| < 1, then the log return series look stationary.
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Econ 4140 assignment - Econ 4140 Assignment 1 Professor:...

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