标题: mean reversion refresher [打印本页] 作者: ba736 时间: 2011-7-13 16:41 标题: mean reversion refresher
just a refresher on something i had way wrong.
Quant. AR models
intercept/(1-slope) = mean reverting level.
Anytime the current level is ABOVE the mean reverting level, you should expect the next value to be below the last value.作者: llxx 时间: 2011-7-13 16:41
june2009 Wrote:
-------------------------------------------------------
> just a refresher on something i had way wrong.
>
> Quant. AR models
>
> intercept/(1-slope) = mean reverting level.
>
> Anytime the current level is ABOVE the mean
> reverting level, you should expect the next value
> to be below the last value.
If you are asking for confirmation, then that is correct.
NO EXCUSES作者: kingstongal 时间: 2011-7-13 16:41
a random walk has a slope equal to 1 (bi)
so random walks have no mean eversting level bo/1-1
therefore non convarience stationary
AR model can not be used
need to first difference作者: MiniMe7 时间: 2011-7-13 16:41
It should be noted that if b1 is APPROXIMATELY 1, a unit root exists. I've been burned on practice questions where b1 was 0.99.
