Appunti statistics for finance

Summanze of AR MAmain andthe chacartenst1cs 1"--Behaviour of ACF and PACFProcess- 5pilce >-1# positive ifat lag ¢_ , -pctrtential decading: that it 1o. 0, negative if 0. not si-<forp_ositive that changet ¢1.>tl>t gnificant different from zero for0for...=(+ <(p1per 7 >16p{ke up Ofor lag >tolagpJ- ~ ponential decading1 or si- pnusoidal (depending on the) deca ·>01if 0, ~xponen 1a n the](Ji D.7negative 0. not signifi-< negative si ifif +/-Mernatecant different from zero for lag or > ,1>1I I II JJ' ., II-·- /J.. J- - J Y - -~ J<,'.. }. 'V:... --ILJ:.. .-.,, .... ,; a . r. --'"J, f ,r·1 I r /A~ i.:, - 1:1;;i~~tll>~t;;i...; :t~•t,tt~A1. t~Jii.:) c~.•~i,~., -t~~I-=-~~,-~-_--1_-_tµ,~)t,~ii

~-"·-r:i '!J-t.:~~~t:t1~:-:J;...11 . .;:,,1":1-. ~i:.;t :,i,,~,.i :-: i:l,: ,,,~i--.::.:-;-;-i :)C"::.t,.:. -tv..t,. t~i1q....... ,,,,-;:;,,=-:;Jt .J.t~ ~..--- \,,, - - j I- , , I.. A>,D ~7,,I,~,-U . wti'J ""' .,,I/' -I A .,. o,,. I- r ,I.A~ rJi"' 1-IY • 1J 1,r 1,1111' J - .Ai.. ".,I.,.,, ",_,,:.:. ,n .....I .A·- .i:.- I --i---1---1'---lr-r-r-HHH'----i'----i'----i'----i'----i'----i'----i'----i--t--t--t--t--+--+-+-+-+-+-l-lLLLLWL-l-+-1H 1-II III;~----J-t-t-t-+++-+-t--t--l--f-jf-l-+-+--+-+++--l--+--i-__j_-l_LLLl....J____L_J__J J__j.--i--+-t-r171,_i ,/l ,., jI ', I ' lI ,.. 11/l-- I-I7I I-i ~--_-+-+-H,,n-cr 11I- i- I -~----~--•- - ---~-----~-I --~-...l-I -~~==-~~=-------------- - - - - -- ".. ...,_;------._ "s ----------I - ~- - - - -------- .-:. X-t,~ -'-- - -1---- - -,' -. - - /1.,,,. I -I -I II I -I I --,fJ..,A'w;.

!L., I --I II -'I I -I III I t- j d'" I iI , I i I ! "1\11 1 I -;...., Ir,--1 . ._ I r'.-c.1- 1\.. 11-, -ir L--- , ......-,, It; 1 fc. irl ___, 'I -,IIhJ+>, . I ' IjL.. -;l ~- l -.1 I I II ·- IIV IiI '1I II -iI !I j!II I1 c;; - - , I --lr, I1 A - • , ...t.t- =[//_h'- " - vi. I i:n I I h / It--V . . . _I -11 ,• • 1./c [ 't::::--1 ::t. -' " " J i iD I:' ,., I\, I ...1,I --l,I_ I~, J-~,_ , I. r,,1 -II I 1!-i ,_•• I~,, i,.. I.Ii,,,,. .J' I -~;' ! l--' ji -··'I -·I'-··'-IIII -1 l I I I IIIi III Il__,,_.1 _!· ..-,..,~I - .----- - - --1- l r- -I -i, I iIlI . II '.- Ii !n ,._ :..t., __ 1-r'I I •I - I L)i I ' - ' I] , - , / Ii, IL~ -"'~ ~1} :..-'i Dn ....... IL~~J.,.. IL t.·V.J I-/\.1,d,. '.A. '"J,J ._ 1 1..,jIl ). , ,hI /) II I,A I' r.AhJ,r, .. I·1,.;-.1,

.... 'lA:A -, I -~:,- If...-J ,~I I I I 'II / ' I II I : I I II I I Il II II II l '- III I IIi III7u=-c ! Ii-l i......J Lk IVIC:I'= I~, l"' !I II I~-- _.\~~' ~ f-ri:ITIL.! ,-#1c'-. rn1uLcJ~_,J,.~_J/.::.r:+