Clear Filters
Clear Filters

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

1 view (last 30 days)
CR
CR on 1 Sep 2011
I am wondering what command is the best that will return the % average two stocks are cointegrated?
  2 Comments
Rick Rosson
Rick Rosson on 3 Sep 2011
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 on 3 Sep 2011
Rick, guessing he means this: http://en.wikipedia.org/wiki/Cointegration. It's a term used in economics and finance.

Sign in to comment.

Sign in to answer this question.

Answers (2)

the cyclist
the cyclist on 3 Sep 2011
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 on 4 Sep 2011
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

Categories

Find more on Cointegration Analysis in Help Center and File Exchange

Tags

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!