|
- UID
- 223403
- 帖子
- 404
- 主题
- 29
- 注册时间
- 2011-7-11
- 最后登录
- 2014-8-2
|
2#
发表于 2011-7-11 19:43
| 只看该作者
A stock that follows a random walk has no mean reversion level, so you can't predict which direction it is likely to trend in the future. A unit root infers that the value of the lagged coefficient is = 1, and therefore follows a random walk making it not covariance stationary (since the mean reverting level is defined as b0/b1-1...if b1=1, then the denominator is 0 and this is undefined). So basically, a stock that follows a random walk is defined as having a unit root.
In the equation above, you have described a random walk with no drift since the intercept term = 0. |
|
