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- Fri Nov 15, 2013 9:48 am
- Forum: Econometric Discussions
- Topic: non-stationary data to stationary
- Replies: 10
- Views: 21568
non-stationary data to stationary
Hi there, I have some data which is the daily return from the S&P500 index calculated from the 1% most extreme increase in the price. I caculated the return by taking Pt=(pt/pt-1)-1. I also calculated data from the 2,5% extreme and 5%. For the most I can do an ADF and have the data as stationary...