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A
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A
3
Q
rt is weakly stationary if
A
4
Q
A
5
Q
A
6
Q
AR(1)
For all lags greater than 1, the partial autocorrelation…
A
is 0
7
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A
8
Q
A
9
Q
A
10
Q
A
11
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A
12
Q
A
13
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A
14
Q
A
15
Q
AR(1)
Lag k partial auto-correlation
A
0
16
Q
An MA(1) is said to be invertible when
A
It can be represented as an autoregressive model with infinite lags
17
Q
Unconditional mean of an MA(1)
E(rt) =
A
c0
18
Q
MA (1)
Model
A
19
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A
20
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A
21
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A
22
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A
23
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A
24
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A
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Financial Econometrics
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