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Before get to the point of transformation for the non-stationary financial time series data, we should distinguish between the different types of the non-stationary processes. This will provide us with a better understanding of the processes and allow us to apply the correct transformation. Examples of non-stationary processes are random walk with or without a drift (a slow steady change) and deterministic trends (trends that are constant, positive or negative, independent of time for the whole life of the series).
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