MA process

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chmakar
Posts: 1
Joined: Thu Oct 22, 2009 11:15 am

MA process

Postby chmakar » Thu Oct 22, 2009 12:00 pm

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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