Hi: <br /><br />1) An arima(0,2,2) is equivalent to double exponential so maybe you're finding has something to do with that ? it's also tough to say what fits because that depends on the window you use to estimate and how you define "fits". ( predictive or closeness of fit ). <br /><br />2) the algorithm for fitting an MA(p) should be in hamilton or box and jenkins. it's not trivial.<br /><br /><br /><br /><br /><br /><br /><br /><p>On Apr 10, 2009, <strong>BearXu</strong> <bearxu83@gmail.com> wrote: </p><div class="replyBody"><blockquote style="border-left: 2px solid #267fdb; margin: 0pt 0pt 0pt 1.8ex; padding-left: 1ex">I found that the ARIMA(0,2,1) is very fit to describe the log of a stock<br />market index but rare mentioned in a text book.Any suggestion?<br />I always puzzled how the software estimated a MA(p) model because only error<br />term existing in the formula.Where the term from?<br /><br /> [[alternative HTML version deleted]]<br /><br />_______________________________________________<br /><a href="mailto:R-SIG-Finance@stat.math.ethz.ch" target="_blank" class="parsedEmail">R-SIG-Finance@stat.math.ethz.ch</a> mailing list<br /><a href="https://stat.ethz.ch/mailman/listinfo/r-sig-finance" target="_blank" class="parsedLink">https://stat.ethz.ch/mailman/listinfo/r-sig-finance</a><br />-- Subscriber-posting only.<br />-- If you want to post, subscribe first.<br /></blockquote></div>