[Gretl-users] EWMA parameter estimation in gretl
i have some questions about EWMA.
How do i using EWMA or SMA method in gretl.
and if i use the gretl by EWMA method, how do i forecast EWMA parameter
lambda..
and what is the best estimator the minimum MSE or Maximum MLE method.
RiskMetric recommends lambda=0.94 in daily obs and lambda=0.97 in monthly
obs....
is it correct?
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