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