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SP B USDEUR + ARIMA Coeff (0,1,2) Ma2 Model ZT Ao +B (USDEUR) + A1Z (t-1) - E A (t-1) +a (T)

The document describes a MA2 model for a time series SP that includes the USDEUR exchange rate as a regressor and ARIMA(0,1,2) errors. It provides the coefficients for the model where the MA1 and MA2 coefficients are -0.2962 and 0.3144 respectively, and the coefficient for USDEUR is -3067.811. It also lists some error measures for the training set.

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Sai Swaroop Mandal
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59 views6 pages

SP B USDEUR + ARIMA Coeff (0,1,2) Ma2 Model ZT Ao +B (USDEUR) + A1Z (t-1) - E A (t-1) +a (T)

The document describes a MA2 model for a time series SP that includes the USDEUR exchange rate as a regressor and ARIMA(0,1,2) errors. It provides the coefficients for the model where the MA1 and MA2 coefficients are -0.2962 and 0.3144 respectively, and the coefficient for USDEUR is -3067.811. It also lists some error measures for the training set.

Uploaded by

Sai Swaroop Mandal
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as DOCX, PDF, TXT or read online on Scribd
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SP= b* USDEUR + ARIMA coeff(0,1,2)

Ma2 model

Zt= Ao +B(USDEUR) + A1Z(t-1) – E a(t-1) +a(t)


Output

Series: SP
Regression with ARIMA(0,1,2) errors

Coefficients:
ma1 ma2 USD.EUR
-0.2962 0.3144 -3067.811
s.e. 0.0712 0.0706 1430.928

sigma^2 estimated as 3933: log likelihood=-987.86


AIC=1983.71 AICc=1983.94 BIC=1996.44

Training set error measures:


ME RMSE MAE MPE MAPE MASE
ACF1
Training set -0.5136906 62.01055 42.51766 -0.04719523 1.456903 0.9323474
-0.01372424

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