Time-Series Analysis

Free CFA Level II lesson in Quantitative Methods. 13 min read, ~1,966 words.

AR(1) stationarity condition: absolute value of lag coefficient < 1. Forecasts converge to the mean-reverting level = b0 / (1 - b1). ADF test null = unit root (non-stationary). Reject only when the test statistic is more negative than the critical value, opposite of standard t-test intuition. Multi-period forecasts chain...