[R] arma estimated return

Xiao Yang xy11 at caa.columbia.edu
Wed Jul 6 03:28:03 CEST 2011


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



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