IsStationary: Check the stationarity of time series (spread)

In PairTrading: classical pair trading based on cointegration in finance

Description

Check the stationarity of time series by Phillips-Perron Test for Unit Roots and Augmented Dickey-Fuller Test.

Usage

IsStationary(spread, threshold) 

Arguments

spread	checked time series object(xts)
threshold	threshhold value of p-value

Value

the vector which have the result of each test passed or not.

Author(s)

Shinichi Takayanagi, Kohta Ishikawa

Examples

#load library
library(PairTrading)

#load sample stock price data
data(stock.price)

#select 2 stocks
price.pair <- stock.price[,1:2]["2008-12-31::"]

#Estimate parameters & plot spread
reg <- EstimateParameters(price.pair, method = lm)

#check stationarity
IsStationary(reg$spread, 0.1)

PairTrading documentation built on May 2, 2019, 6:11 p.m.