Consider the standard random walk model, without drift: 𝑦𝑡 = 𝑦𝑡−1 𝑢𝑡 a. Is the random walk model stationary? Prove and explain fully. b. Is the random walk model difference-stationary? Prove and explain fully. c. What are the odds of an increase in 𝑦𝑡 at time 𝑡 1 and the odds of a decrease in 𝑦𝑡 at time 𝑡 1 d. What is the best estimate of the next period’s price? Explain why.
Consider the standard random walk model, without drift: 𝑦𝑡 = 𝑦𝑡−1 𝑢𝑡 a. Is th…
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