MODELO ARIMA(1,1)

Yt es generada por la siguiente ecuación: et es un proceso de

yt = 0.8 yt-1 + et + 0.5*et-1 ruido blanco

Yt = r = AR(1) MA(1) [e t- Suma errores

OBS St
ln(St) - ln(St-1) [Yt-1] Ŷt e2 Ŝt al cuadrado
1
]

t0 100.00 0.01026
t1 101.30 0.0129
t2 104.91 0.0350 0.0129 0 0.01001 0.00062 102.3189
t3 107.20 0.0216 0.0350 0.02500 0.04014 0.00034 109.2055
t4 109.64 0.0225 0.0216 -0.01855 0.00707 0.00024 107.9592
t5 112.16 0.0228 0.0225 0.01541 0.02544 0.00001 112.4606
t6 114.83 0.0235 0.0228 -0.00265 0.01628 0.00005 114.0036
t7 116.27 0.0125 0.0235 0.00722 0.02197 0.00009 117.3811
t8 117.39 0.0096 0.0125 -0.00948 0.00474 0.00002 116.8258
t9 118.82 0.0121 0.0096 0.00486 0.00997 0.00000 118.5705
t10 119.02 0.0017 0.0121 0.00210 0.01045 0.00008 120.0680
t11 121.10 0.0173 0.0017 -0.00878 -0.00328 0.00043 118.6287
t12 123.84 0.0224 0.0173 0.02063 0.02418 0.00000 124.0650
t13 125.40 0.0125 0.0224 -0.00182 0.01638 0.00002 125.8848
t14 126.61 0.0096 0.0125 -0.00389 0.00764 0.00000 126.3579
t15 128.10 0.0117 0.0096 0.00198 0.00849 0.00001 127.6876
t16 128.77 0.0052 0.0117 0.00320 0.01073 0.00003 129.4788
t17 128.94 0.0013 0.0052 -0.00550 0.00118 0.00000 128.9198
t18 127.75 -0.0093 0.0013 0.00015 0.00111 0.00011 129.0833
t19 125.71 -0.0161 -0.0093 -0.01042 -0.01264 0.00001 126.1411
t20 124.13 -0.0126 -0.0161 -0.00344 -0.01424 0.00000 123.9302
t21 123.26 -0.0070 -0.0126 0.00162 -0.00894 0.00000 123.0262
t22 123.03 -0.0019 -0.0070 0.00192 -0.00443 0.00001 122.7174
t23 124.00 0.0078 -0.0019 0.00257 -0.00010 0.00006 123.0208
t24 123.62 -0.0031 0.0078 0.00792 0.01018 0.00018 125.2685
t25 122.21 -0.0114 -0.0031 -0.01324 -0.00927 0.00000 122.4795
t26 124.79 0.0209 -0.0114 -0.00218 -0.01000 0.00095 120.9973 1.2
t27 128.56 0.0298 0.0209 0.03088 0.03226 0.00001 128.8836
t28 131.95 0.0260 0.0298 -0.00248 0.02178 0.00002 131.3953 1
t29 134.69 0.0205 0.0260 0.00425 0.02238 0.00000 134.9409
t30 137.48 0.0205 0.0205 -0.00186 0.01493 0.00003 136.7155 0.8
t31 140.29 0.0202 0.0205 0.00559 0.01880 0.00000 140.0910
t32 143.83 0.0249 0.0202 0.00143 0.01641 0.00007 142.6125 0.6
t33 146.14 0.0159 0.0249 0.00852 0.02375 0.00006 147.2893
t34 144.83 -0.0090 0.0159 -0.00783 0.00826 0.00030 147.3532
0.4
t35 142.16 -0.0186 -0.0090 -0.01724 -0.01594 0.00001 142.5443
t36 140.60 -0.0110 -0.0186 -0.00267 -0.01581 0.00002 139.9345
0.2
t37 138.33 -0.0163 -0.0110 0.00478 -0.00606 0.00010 139.7553
t38 135.57 -0.0202 -0.0163 -0.01022 -0.01793 0.00000 135.8757
t39 134.42 -0.0086 -0.0202 -0.00222 -0.01677 0.00007 133.3208 0
t40 135.38 0.0071 -0.0086 0.00821 -0.00235 0.00009 134.1040
t41 136.12 0.0055 0.0071 0.00946 0.01044 0.00002 136.7998
t42 133.60 -0.0187 0.0055 -0.00498 0.00164 0.00041 136.3430
t43 128.84 -0.0363 -0.0187 -0.02033 -0.02508 0.00013 130.2905
t44 122.98 -0.0465 -0.0363 -0.01121 -0.03396 0.00016 124.5366
t45 116.87 -0.0510 -0.0465 -0.01254 -0.04255 0.00007 117.8610
t46 112.60 -0.0372 -0.0510 -0.00842 -0.04388 0.00004 111.8545
t47 110.01 -0.0233 -0.0372 0.00664 -0.02539 0.00000 109.7776
t48 107.71 -0.0211 -0.0233 0.00207 -0.01698 0.00002 108.1533
t49 105.69 -0.0189 -0.0211 -0.00408 -0.01844 0.00000 105.7450
t50 105.51 -0.0017 -0.0189 -0.00048 -0.01490 0.00017 104.1311
t51 106.55 0.0098 -0.0017 0.01316 0.00551 0.00002 106.0935
t52 107.71 0.0109 0.0098 0.00426 0.00979 0.00000 107.5954
 t53 110.38 0.0244 0.0109 0.00109 0.00900 0.00024 108.6872
t54 113.07 0.0242 0.0244 0.01541 0.02694 0.00001 113.3893
t55 115.40 0.0203 0.0242 -0.00278 0.01727 0.00001 115.0451
t56 120.26 0.0413 0.0203 0.00305 0.01734 0.00057 117.4157
t57 126.04 0.0470 0.0413 0.02392 0.04442 0.00001 125.7204
t58 128.92 0.0225 0.0470 0.00257 0.03775 0.00023 130.8928
t59 129.83 0.0071 0.0225 -0.01522 0.00952 0.00001 130.1493
t60 129.37 -0.0036 0.0071 -0.00244 0.00422 0.00006 130.3811
t61 129.66 0.0023 -0.0036 -0.00781 -0.00685 0.00008 128.4828
t62 132.06 0.0183 0.0023 0.00913 0.00652 0.00014 130.5087
t63 134.56 0.0188 0.0183 0.01183 0.02038 0.00000 134.7802
t64 136.06 0.0111 0.0188 -0.00161 0.01369 0.00001 136.4180
t65 137.74 0.0122 0.0111 -0.00263 0.00720 0.00003 137.0432
t66 142.52 0.0341 0.0122 0.00504 0.01211 0.00049 139.4146
t67 148.18 0.0389 0.0341 0.02203 0.03793 0.00000 148.0288
t68 153.57 0.0358 0.0389 0.00100 0.03068 0.00003 152.7944
t69 160.34 0.0431 0.0358 0.00509 0.03036 0.00016 158.3074
t70 164.79 0.0273 0.0431 0.01279 0.04009 0.00016 166.9033
t71 166.04 0.0076 0.0273 -0.01276 0.01453 0.00005 167.1991
t72 167.81 0.0106 0.0076 -0.00695 0.00226 0.00007 166.4169
t73 173.84 0.0353 0.0106 0.00832 0.01253 0.00052 169.9234
t74 179.08 0.0297 0.0353 0.02276 0.03920 0.00009 180.7839
t75 181.49 0.0134 0.0297 -0.00947 0.01809 0.00002 182.3495
t76 180.45 -0.0058 0.0134 -0.00472 0.00791 0.00019 182.9324
t77 175.95 -0.0253 -0.0058 -0.01369 -0.01161 0.00019 178.3620
t78 173.00 -0.0169 -0.0253 -0.01364 -0.02667 0.00010 171.3155
t79 171.69 -0.0076 -0.0169 0.00977 -0.00800 0.00000 171.6180
t80 171.85 0.0010 -0.0076 0.00040 -0.00568 0.00004 170.7138
t81 171.36 -0.0029 0.0010 0.00664 0.00421 0.00005 172.5763
t82 169.33 -0.0119 -0.0029 -0.00708 -0.00592 0.00004 170.3480
t83 167.35 -0.0118 -0.0119 -0.00599 -0.01234 0.00000 167.2534
t84 164.91 -0.0147 -0.0118 0.00058 -0.00881 0.00003 165.8840
t85 164.36 -0.0033 -0.0147 -0.00590 -0.01447 0.00012 162.5384
t86 163.63 -0.0044 -0.0033 0.01113 0.00321 0.00006 164.8872
t87 163.35 -0.0018 -0.0044 -0.00764 -0.00740 0.00003 162.4262
t88 164.64 0.0079 -0.0018 0.00564 0.00158 0.00004 163.6035
t89 162.64 -0.0123 0.0079 0.00634 0.00944 0.00047 166.2062
t90 158.89 -0.0234 -0.0123 -0.02169 -0.02079 0.00001 159.2928
t91 154.49 -0.0280 -0.0234 -0.00256 -0.01943 0.00007 155.8281
t92 150.61 -0.0255 -0.0280 -0.00861 -0.02621 0.00000 150.4950
t93 147.72 -0.0193 -0.0255 0.00074 -0.01934 0.00000 147.7214
t94 146.90 -0.0056 -0.0193 0.00001 -0.01498 0.00009 145.5257
t95 145.90 -0.0068 -0.0056 0.00943 0.00061 0.00006 146.9945
t96 144.42 -0.0102 -0.0068 -0.00746 -0.00919 0.00000 144.5674
t97 140.91 -0.0246 -0.0102 -0.00102 -0.00844 0.00026 143.2072
t98 135.12 -0.0419 -0.0246 -0.01618 -0.02750 0.00021 137.0871
t99 129.20 -0.0448 -0.0419 -0.01445 -0.04002 0.00002 129.8203
t100 123.30 -0.0468 -0.0448 -0.00476 -0.03717 0.00009 124.4894
t101 -0.0468 -0.00961 -0.04125 118.31587
 200

180
Coeficientes St Ŝt

160
f1 0.77472
q2 0.52099
140

120

100

80
t0 t5 t1
0
t1
5
t2
0
t2
5
t3
0
t3
5
t4
0
t4
5
t5
0
t5
5
t6
0
t6
5
t7
0
t7
5
t8
0
t8
5
t9
0

R-squared Mean dependent var

Adjusted R-squared S.D. dependent var
S.E. of regression 0.010287 Akaike info criterion 2.832027
Sum squared resid 0.01026 Schwarz criterion 2.88445
Log likelihood 138.1854 F-statistic
Durbin-Watson stat Prob(F-statistic)

n 99
k 2

Chart Title
1.2

0.8

0.6

0.4

0.2

0
1
 0 5 0 5 0 5 0 5 00
t6 t6 t7 t7 t8 t8 t9 t9 t1