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The autoregressive (AR) model is a stochastic process modelling time series, which specifies the value of the series linearly in terms of the previous values.
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Quantify volatility on a time series data
I am now working on a set of time series data and I would like to quantify the series' volatility.
I have think of an approach which is first model it as some auto-regressive model like ARCH and comp …
3
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Long term and short term effect of estimators on AR model
How do we find out the long term and short term effect of estimators on AR model?