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Zhen Tian Jeff Lee Visut Hemithi

A Deep Analysis of A Random Walk. Zhen Tian Jeff Lee Visut Hemithi. Huan Zhang Diana Aguilar Yuli Yan. Identification. Identification. Unit Root. Log Transformation Trend in Var. Difference Trend in Mean. Pre-Whitening. Pre-Whitening. Unit Root. Model Validation-1.

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Zhen Tian Jeff Lee Visut Hemithi

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  1. A Deep Analysis of A Random Walk Zhen Tian Jeff Lee Visut Hemithi Huan Zhang Diana Aguilar Yuli Yan

  2. Identification

  3. Identification

  4. Unit Root

  5. Log Transformation • Trend in Var. • Difference • Trend in Mean Pre-Whitening

  6. Pre-Whitening

  7. Unit Root

  8. Model Validation-1

  9. Model Validation-2

  10. Model Validation-ARCH GARCH (1)

  11. Model Validation-ARCH GARCH (3)

  12. Correlogram

  13. Correlogram of Residual2

  14. Histogram

  15. ARCH Test

  16. Forecast

  17. Forecast

  18. Recolor

  19. Comparison

  20. A Little Bit Further

  21. To Investigate the Sources of Shock • Geopolitical Events (War & Disasters) • GDP / Mean Personal Income • Vehicle Sales (SUV Sales) • China Petro Consumption • Speculation (Future Contract Price) •  Key Bibliography • “Causes and Consequences of the Oil Shock of 2007-08” • James D. Hamilton, UCSD (2009) Story Behind the Scene

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