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What is the best command to return the % two stocks are cointegrated?

조회 수: 1 (최근 30일)
CR
CR 2011년 9월 1일
I am wondering what command is the best that will return the % average two stocks are cointegrated?
  댓글 수: 2
Rick Rosson
Rick Rosson 2011년 9월 3일
What does the term "cointegrated" mean in this context? Is it the same thing as "correlated" or is it something different?
the cyclist
the cyclist 2011년 9월 3일
Rick, guessing he means this: http://en.wikipedia.org/wiki/Cointegration. It's a term used in economics and finance.

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답변 (2개)

the cyclist
the cyclist 2011년 9월 3일
Do you have the Economics Toolbox? I don't have it myself, but I expect there are functions in there that would help.
Rick Rosson
Rick Rosson 2011년 9월 4일
The Cyclist is correct. The Econometrics Toolbox has two functions that test for cointegration:
  • The Johansen cointegration test: jcitest
  • The Engle-Granger cointegration test: egcitest
For more information:
HTH.
Best,
Rick

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