autocorrelation

Learning objectives: Describe how equity correlations and correlation volatilities behave throughout various economic states. Calculate a mean reversion rate using standard regression and calculate the corresponding autocorrelation. Identify the best-fit distribution for equity, bond, and...

Learning objectives: Describe sample autocorrelation and partial autocorrelation. Describe the Box-Pierce Q-statistic and the Ljung-Box Q statistic. Questions: 20.24.1. The autocorrelation function (ACF) is typically paired with the partial autocorrelation function (PACF). About the ACF and...

Autocorrelation is a correlation of variable (eg, returns) with itself over time; it is a violation of returns. Positive autocorrelation increases scaled volatility, while negative autocorrelation (aka, mean reversion) decreases scaled volatility. Here is David's XLS: http://trtl.bz/2wSpHrG

I have a question on Autocorrelation of OLS model. So I encountered a autocorrelation error, and use Cochrane - Orcutt Two-step Procedure(CORC) to fix it. And my OLS became GLS. And I have no idea how to interpret the coefficient on my initial X and Y with the new model. I mean something like...

Hello, I am trying to understand how to calculate the autocorrelation of an equity asset. I've attached a spreadsheet with monthly SPY values. I've calculated the arithmetic monthly returns and have run correlations for both the SPY price and returns. For the returns, the autocorrelation is...

Analyst in his attempt to develop a model for predicting future correlation between two stock returns, perform auto regression to get below equation p(t) = 0.1 +0.3 p(t-1). What will be the auto correlation for one period lag as calculated with respect to mean reversion? a. 0.7 b. 0.10 c...

Hi, In reference to R15.P1.T2.DIEBOLD_CH7_PARTIAL_AUTO-CORRELATION :- I am having a bit of a confusion with the verbiage circled in Red below. What I have managed to understand on this topic is that :- the PACF ( Partial Auto Correlation) allows us to identify the "Order" of the...

David, I am now thoroughly confused by the Square Root Rule and scaling the VaR under the circumstance of Mean Reversion and Auto correlation. In search of an explanation, I found this thread http://forum.bionicturtle.com/newreply/1729/ , but your link is not attached anymore. The rules for...