FoundationNumeric answer
A mean-reverting spread · Part 1 of 4
A daily spread follows , where the shocks are independent with standard deviation 1.
What is the long-run mean of the spread?
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
The worked solution is in Premium
The answer, the full working and the one idea to take away – for this and all 1,322 questions in the bank. Answer it in practice and your working is marked, with a known mistake named when you make one.
Learn the method
More time series questions
- An AR(1) has φ = 0.8 and innovation variance 1. What is its stationary variance?Applied
- For xₜ = εₜ+0.5εₜ₋₁, what is the lag-one autocorrelation?Applied
- For xₜ = 2+0.6xₜ₋₁+0.3xₜ₋₂+εₜ, what is the unconditional mean?Applied
- An AR(1) process has mean 2 and coefficient 0.8.Applied
- For the stationary AR(2) process xₜ = 0.5xₜ₋₁+0.3xₜ₋₂+εₜ, what is the lag-one…Applied
- What is the lag-one autocorrelation of the MA(1) process xₜ = εₜ+2εₜ₋₁?Applied