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by chmakar
Thu Oct 22, 2009 12:00 pm
Forum: Estimation
Topic: MA process
Replies: 0
Views: 1835

MA process

Assume returns r are generated by the following model:

rt= m+et+a et-1 + b et-2 (m, b and a are constants) and e are IID

How could i use this model for forecasting? Suppose I am at time t=T. How can I (and assuming I know all its
parameters), predict the return at time t=T+2?

regards

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