https://en.wikipedia.org/wiki/Cointegration
https://en.wikipedia.org/wiki/Order_of_integration
from arch import arch_model, #suggested by G-P Zhang.
A drunk and her dog is a good article, by Michael Murray
Python library:
https://pypi.org/project/arch/
import numpy as np import pandas as pd import seaborn import statsmodels import matplotlib.pyplot as plt from statsmodels.tsa.stattools import coint
https://bigquant.com/community/t/topic/167965
R packages
https://www.econometrics-with-r.org/16-3-cointegration.html
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