SKEMA Juliana CAICEDO-LLANO

Master FMI juli.caicedo@gmail.com

Paris-Sophia 2023-2024

Introduction to Financial Econometrics

SKEMA
Document 3

Graphics and analysis of stationnarity

Documents - Stationnarity of DLCAC

Figure 1 – Logarithm of daily prices Figure 2 – Difference of log daily prices

0.10
6000

0.05
5000

diff(log(CAC))
CAC

0.00
4000

−0.05
3000

−0.10

2004 2006 2008 2010 2012 2004 2006 2008 2010 2012

Index Index

Figure 3 – Autocorrelation and partical Au- Figure 4 – Autocorrelation and partical Au-
tocorrelation tocorrelation
1.0

1.0
0.8
0.8

Stationnary Non-Stationnary
0.6
0.6
ACF

ACF

0.4
0.4

0.2
0.2

0.0
0.0

0 5 10 15 20 25 30 35 0 5 10 15 20 25 30 35
1.0

Lag Lag
0.05
0.8
Partial ACF

Partial ACF
0.6

0.00
0.4
0.2

−0.05
0.0

0 5 10 15 20 25 30 35 0 5 10 15 20 25 30 35

1
Questions - Stationnarity of DLCAC
1. Explain why to transform prices with their logarithm ? And why to calculate first
differences of the series ?
2. Based on Figures 1 and 2, do you think theses series are stationnary ?
3. What can you say about the significance of autocorrelations and partial autocorrélation
for the series LCAC on Figure 3 ?
4. What are the indications given by these tests ?
5. What do you think about the significance of the autocorrelations and partial auto-
correlation of serie DLCAC on Figure 4 ?
6. What is your conclusion after analysing these figures ?