What does the Autocorrelation vs Lag Plot (Correlogram) tell us? (FRM Part 1, Quantitative Analysis)
In this video, we take a look at the information provided by the plot of Autocorrelation vs Lag (also called Correlogram). Such a plot provides a very handy visual tool to detect the type of process / specification followed by the time series. We take a look at three correlograms and using simple rules of thumb we figure out the candidate process behind each of them. The processes touched upon are: Moving Average (MA) process, Auto Regressive (AR) process, Auto Regressive Moving Average (ARMA) process. For more videos on FRM Part 1 preparations, please head over to the course page here: https://www.finRGB.com/courses/frm-pa....
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