If you do something similar on bonds it will look the same. The next decade, perhaps 2 decades, are going to be awful for asset returns. This will have profound implications for the industryhttps://twitter.com/SoberLook/status/1460190968683147273 …
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Would this hold for residuals as well? Aka 6hr MA observations diff(1).
6hr observation diff(1) is fine, if the 6hr periods don’t overlap. You only get problems if you have eg 00:00-06:00, 01:00-07:00, 02:00-08:00 etc in the same data set.
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To be clear you can still fit a model in this case, and it may even be a better model than if you only used non-overlapping intervals. But a naive estimate of confidence intervals/statistical significance will be wildly wrong. If you don’t care about that, no problem!
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Oh, I think I wasn't clear enough here. So in this case, if you did something akin to a 00:00-06:00, 01:00-07:00 etc and did the diff of the MA of that.
End of conversation
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