How About Stock Returns?

In the last exercise, you showed that Amazon stock prices, contained in the DataFrame AMZN follow a random walk. In this exercise. you will do the same thing for Amazon returns (percent change in prices) and show that the returns do not follow a random walk.

Diese Übung ist Teil des Kurses

Time Series Analysis in Python

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Anleitung zur Übung

Import the adfuller module from statsmodels.
Create a new DataFrame of AMZN returns by taking the percent change of prices using the method .pct_change().
Eliminate the NaN in the first row of returns using the .dropna() method on the DataFrame.
Run the Augmented Dickey-Fuller test on the 'Adj Close' column of AMZN_ret, and print out the p-value in results[1].

Interaktive Übung

Vervollständige den Beispielcode, um diese Übung erfolgreich abzuschließen.

# Import the adfuller module from statsmodels
from statsmodels.tsa.stattools import adfuller

# Create a DataFrame of AMZN returns
AMZN_ret = ___

# Eliminate the NaN in the first row of returns
AMZN_ret = ___

# Run the ADF test on the return series and print out the p-value
results = adfuller(___)
print('The p-value of the test on returns is: ' + str(results[___]))

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