Page 43 - FINAL CFA II SLIDES JUNE 2019 DAY 3
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Log-Linear Trend Models READING 9: TIME SERIES ANALYSIS
Time series data, particularly financial time series, often display exponential growth (growth with continuous compounding).
• + means random variable (i.e., the time series) tends to increase at some constant rate of growth (convex curve);
• - means the data tends to decrease at some constant rate of decay (concave curve).
When a series exhibits exponential growth, it can be modeled as:
Defines y as an exponential function of time.
