MA process
Posted: 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
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