Based on the augmented Dickey{Fuller test, do you think the first column of yield Dat is stationary?
Question:
Run the following code to compute changes in the yield curves. Notice the use of [- 1,] to delete the first row and similarly the use of [- n,].
n=dim(yieldDat)[1]
delta_yield = yieldDat[-1,] - yieldDat[-n,]
Plot the first column of delta_yield and run the augmented Dickey-Fuller test to check for stationarity.
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Related Book For
Statistics And Data Analysis For Financial Engineering
ISBN: 9781461427490
1st Edition
Authors: David Ruppert
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