1 / 25

Zhen Tian Jeff Lee Visut Hemithi

A Deep Analysis of A Random Walk. Zhen Tian Jeff Lee Visut Hemithi. Huan Zhang Diana Aguilar Yuli Yan. Identification. Identification. Unit Root. Log Transformation Trend in Var. Difference Trend in Mean. Pre-Whitening. Pre-Whitening. Unit Root. Model Validation-1.

paul-duncan
Télécharger la présentation

Zhen Tian Jeff Lee Visut Hemithi

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. A Deep Analysis of A Random Walk Zhen Tian Jeff Lee Visut Hemithi Huan Zhang Diana Aguilar Yuli Yan

  2. Identification

  3. Identification

  4. Unit Root

  5. Log Transformation • Trend in Var. • Difference • Trend in Mean Pre-Whitening

  6. Pre-Whitening

  7. Unit Root

  8. Model Validation-1

  9. Model Validation-2

  10. Model Validation-ARCH GARCH (1)

  11. Model Validation-ARCH GARCH (3)

  12. Correlogram

  13. Correlogram of Residual2

  14. Histogram

  15. ARCH Test

  16. Forecast

  17. Forecast

  18. Recolor

  19. Comparison

  20. A Little Bit Further

  21. To Investigate the Sources of Shock • Geopolitical Events (War & Disasters) • GDP / Mean Personal Income • Vehicle Sales (SUV Sales) • China Petro Consumption • Speculation (Future Contract Price) •  Key Bibliography • “Causes and Consequences of the Oil Shock of 2007-08” • James D. Hamilton, UCSD (2009) Story Behind the Scene

More Related