Random Walks and Unit Root Processes
1. Context
In this video from FRM Part 1 curriculum, we take a look at Random Walks and their generalisations which are Unit Root Processes. We explore how the properties of a random walk differ from the properties of a stationary AR(1) process, why do random walks have a “unit root” and in general, how to detect if a time series indeed has a unit root or not. For more videos focused on preparation for FRM Part 1 please visit the FRM Part I online course page. The details of the reading in which this topic appears are given below:
| Area | Quantitative Analysis |
| Reading | Non-Stationary Time Series |
| Reference | Chapter 11. Non-Stationary Time Series, Official GARP Books (QA Section, 2021). |