Timeline for How would I interpret this PACF and ACF graph?
Current License: CC BY-SA 3.0
5 events
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| Oct 18, 2016 at 11:24 | comment | added | Jan Sila |
@user7035336 if you are doing it on log prices, then I bet you made a mistake - I was gonna say you modelled the ACF on prices as they are always non-stationary ~ unit root and similar shape :) You want to take natural logarithm and then difference those to get logarithmic differences - thats' what finance works with. Try that and have a look at the ACF and PACF again.
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| Oct 18, 2016 at 9:24 | comment | added | Richard Hardy | @user7035336 Yes, actually, there could be a unit root (and then long memory, indeed). | |
| Oct 18, 2016 at 9:07 | comment | added | user7035336 | Is there evidence of the time series being Non-stationary, judging from the acf? | |
| Oct 18, 2016 at 8:52 | comment | added | Richard Hardy |
Generally noninteger values on the $x$-axis are not a problem. This could be monthly data with a period of 12, then a 1 on the axis stands for 1 year. Also, why long memory? Looks like ACF has an exponential (rather than linear) decay, hence short memory.
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| Oct 18, 2016 at 8:43 | history | answered | Jan Sila | CC BY-SA 3.0 |