- Rho: Spread의 지속성 / Half-Life: 평균으로 절반 복귀하는 데 걸리는 시간
- Kappa: 평균회귀 속도 계수 / Mu: 장기 평균값 / Sigma: 확산계수, 변동성
PACF(Partial AutoCorrelation Function)
AICc(Akaike Information Criterion)
AICc(Akaike Information Criterion)
1st Cointegration Vector Spread Chart
PACF(Partial AutoCorrelation Function)
2nd Cointegration Vector Spread Chart
PACF(Partial AutoCorrelation Function)
3rd Cointegration Vector Spread Chart
PACF(Partial AutoCorrelation Function)
Comments