6. Random walk model

The exercise was created 2024-03-25 by Makizon. Question count: 9.

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  • vilken variabel ska man göra random walk på? non stationary
  • gör random walk på LOGADJCLOSE från training set ARIMA010 <- Arima(training$LOGADJCLOSE, order=c(0,1,0), include.drift=TRUE)
  • gör summary summary(ARIMA010)
  • kolla confidence interval confint(ARIMA010)
  • kolla coefficienter coeftest(ARIMA010)
  • kolla residuals checkresiduals(ARIMA010)
  • vad ska man kolla på i checkresiduals? p-value
  • H0 random walk, the error terms are not correlated, p-value > 5%
  • H1 not random walk, the error terms are correlated, p-value < 5%

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