Maurice Tutor

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    Argosy University/ Phoniex University/
    Nov-2005 - Oct-2011

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Category > Management Posted 08 Apr 2018 My Price 5.00

CRSP daily returns

1.    This problem and the next use CRSP daily returns. First, get the data and plot the ACF in two ways:

library(Ecdat) data(CRSPday) crsp=CRSPday[,7]

252        9  Time Series Models:  Basics

 

acf(crsp) acf(as.numeric(crsp))

(a)    Explain what “lag” means in the two ACF plots. Why does lag differ between the plots?

(b)   At what values of lag are there significant autocorrelations in the CRSP returns? For which of these values do you think the statistical significance might be due to chance?

 

Answers

Maurice Tutor
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Status NEW Posted 08 Apr 2018 06:04 AM My Price 5.00

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