Why Use This Data Source In Your Models?
The Dow Jones Industrial Average provides a view of the US stock market and economy.
Dow Jones Industrial Average (DJIA)
S&P Dow Jones Indices LLC
Dow Jones Industrial Average
Daily Index, Not Seasonally Adjusted
Daily, at close
The data shows auto correlation and a non-normal distribution. The data should be differenced. While the Order Norm transformation, provides the best normality, the Boxcox variable will also perform well.
Data is unable to be distributed by time or geography. The roll up method used is Weighted Average.
Data shows auto correlation indicating a need for differencing
The ACF indicates 1 order differencing is appropriate.
Following first order differencing, no further differencing is required based on the differenced ACF at lag one of -0.17
The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 1.44 p-value = 0.01 indicates that the data is not stationary.
The Shapiro-Wilk test returned W = 0.93 with a p-value =0.00 indicating the data does not follow a normal distribution.
A skewness score of 0.27 indicates the data are fairly symmetrical.
Hartigan's dip test score of 0.05 with a p-value of 0.00 inidcates the data is multimodal
Auto Correlation Function
Auto Correlation Function After Differencing
Partial Auto Correlation Function
Seasonal and Trend Decompostion
S&P Dow Jones Indices LLC, Dow Jones Industrial Average [DJIA], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DJIA, February 16, 2021.
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