Why seasonal MR doesn't require stationarity? I think I'm confused about the statement. Many thanks, Alex
Hello Alex,
Seasonal MR does not require stationarity as it is stationary only in a particular short period in time, say for 2 hours between 12pm to 2pm. ADF test will fail to identify the time series as stationary if tested on its entire length. If MR strategy is implemented during that period then it is profitable. For example, in FX some pairs exhibit stationary behaviour during a particular time of the day.