[R] arma estimated return

Rolf Turner
Wed, 06 Jul 2011 01:40:14 -0000

On 06/07/11 13:28, Xiao Yang wrote:
> Hi
>
> I am new to time series analysis using R.  does anyone know what the
> estimated long term average of return means.  I am doing an arma model
> fitting of exchange rates, and the question I have been asked is to
> estimate the long term average for the returns.  Is this same as the
> intercept term?  I model the log of the exchange rate as a ma(1) and
> got 0 for the intercept.
>
> any help will be great

If this is a homework problem, ask your instructor.

     cheers,

         Rolf Turner