Matlab Functions - R - Cointegration Test using Augmented Dicky Fuller, Takes exports from Multicharts
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R - Cointegration Test using Augmented Dicky Fuller, Takes exports from Multicharts
This is a co-integration test that uses the ADF method. It takes daily time frame exports from multicharts, it requires 2 instruments that have been exported over the same time frame. The threshold here for significance is <5% or 95% confidence in co integration/ mean reversion.

It provides you with the following output

Date range
Assumed hedge ratio Beta
ADF p-value
is your pairs mean reverting in text.


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Details: R - Cointegration Test using Augmented Dicky Fuller, Takes exports from Multicharts
Category: Matlab Functions 


March 15th, 2013
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