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---------

Co-authored-by: jose-donato <zmcdonato@gmail.com>
Co-authored-by: jose-donato <43375532+jose-donato@users.noreply.github.com>
Co-authored-by: andrewkenreich <andrew.kenreich@gmail.com>
2023-10-30 21:01:29 +00:00

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title, description, keywords
title description keywords
coint The Coint page provides users with an explanation and guideline on how to show co-integration between two timeseries. It includes parameter descriptions, usage, and examples.
coint
co-integration
timeseries
plot
significant
parameters
examples

import HeadTitle from '@site/src/components/General/HeadTitle.tsx';

Show co-integration between two timeseries

Usage

coint -t TS [-p] [-s SIGNIFICANT]

Parameters

Name Description Default Optional Choices
ts The time series you wish to test co-integration on. E.g. historical.open,historical2.close. None False None
plot Plot Z-Values False True None
significant Show only companies that have p-values lower than this percentage 0 True None

Examples

2022 Feb 24, 06:03 (🦋) /econometrics/ $ coint msft.adj_close,aapl.adj_close,tsla.adj_close,googl.adj_close -p
                                  Cointegration Tests
┏━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━┳━━━━━━━┳━━━━━━━┳━━━━━━━━━━━━━━━┳━━━━━━━━━┓
┃ Pairs                          ┃ Constant ┃ Gamma ┃ Alpha ┃ Dickey-Fuller ┃ P Value ┃
┡━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━╇━━━━━━━╇━━━━━━━╇━━━━━━━━━━━━━━━╇━━━━━━━━━┩
│ adj_close-msft/adj_close-aapl  │ 46.62    │ 1.58  │ 0.00  │ -1.86         │ 0.35    │
├────────────────────────────────┼──────────┼───────┼───────┼───────────────┼─────────┤
│ adj_close-msft/adj_close-tsla  │ 130.28   │ 0.18  │ -0.01 │ -2.82         │ 0.06    │
├────────────────────────────────┼──────────┼───────┼───────┼───────────────┼─────────┤
│ adj_close-msft/adj_close-googl │ 21.38    │ 0.10  │ -0.01 │ -2.51         │ 0.11    │
├────────────────────────────────┼──────────┼───────┼───────┼───────────────┼─────────┤
│ adj_close-aapl/adj_close-tsla  │ 53.92    │ 0.11  │ -0.01 │ -2.94         │ 0.04    │
├────────────────────────────────┼──────────┼───────┼───────┼───────────────┼─────────┤
│ adj_close-aapl/adj_close-googl │ -7.83    │ 0.06  │ -0.00 │ -1.62         │ 0.47    │
├────────────────────────────────┼──────────┼───────┼───────┼───────────────┼─────────┤
│ adj_close-tsla/adj_close-googl │ -505.14  │ 0.51  │ -0.01 │ -2.28         │ 0.18    │
└────────────────────────────────┴──────────┴───────┴───────┴───────────────┴─────────┘

error_terms_cointegrations