Suppose that the simple return of a monthly bond index, Ask an Expert

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Suppose that the simple return of a monthly bond index follows the MA(1) model

Assume that a₁₀₀= 0.01. Compute the 1-step and 2-step ahead forecasts of the return at the forecast origin t = 100.

What are the standard deviations of the associated forecast errors? Also compute the lag-1 and lag-2 autocorrelations of the return series.

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Financial Management, Finance

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