T series stationarity

tyu90

New Member
#1
hay guys,

i'm working on garch models, but a cant turn my returns stationary.
how can i do it?
i've tried whit log return (logxt - logxt-1) but it doesn't work.

r function:

log.return<-dff(log(x))

i've implemented some test and these are the results:

#######KPSS Test for Trend Stationarity###########

data: ret
KPSS Trend = 0.0491, Truncation lag parameter = 5, p-value = 0.1


#######Augmented Dickey-Fuller Test############

data: ret
Dickey-Fuller = -7.5756, Lag order = 8, p-value = 0.01
alternative hypothesis: stationary


thanks for helping!

bye