+ Reply to Thread
Results 1 to 3 of 3

Thread: Comparing Volatility in 2 populations

  1. #1
    Points: 7, Level: 1
    Level completed: 13%, Points required for next Level: 43

    Posts
    2
    Thanks
    0
    Thanked 0 Times in 0 Posts

    Comparing Volatility in 2 populations




    Have got data for 2 populations and am wanting to compare the volatility/variability between them.

    My initial thought was using a chi-squared (using an assumed value of 100 for the index) but not sure if this would be suitable/would work?

    I've posted a summary plot of what I am using to give a better idea

    Many thanks,
    Attached Images  

  2. #2
    Points: 7, Level: 1
    Level completed: 13%, Points required for next Level: 43

    Posts
    2
    Thanks
    0
    Thanked 0 Times in 0 Posts

    Re: Comparing Volatility in 2 populations

    Or now I think of it - a simple F-test??

  3. #3
    Points: 3,631, Level: 37
    Level completed: 88%, Points required for next Level: 19
    staassis's Avatar
    Location
    New York
    Posts
    226
    Thanks
    2
    Thanked 41 Times in 39 Posts

    Re: Comparing Volatility in 2 populations


    Likelihood ratio test for the model allowing for different volatilities of the two time series (alternative hypothesis) versus a model enforcing the same volatility for the two time series (null hypothesis). Given scarcity of the data, the modeling framework can be simple AR(1).

+ Reply to Thread

           




Posting Permissions

  • You may not post new threads
  • You may not post replies
  • You may not post attachments
  • You may not edit your posts






Advertise on Talk Stats