Module 2: Time series concepts HW
(The attached PDF file has better formatting.)
Homework assignment: equally weighted moving average
This homework assignment uses the material on pages 14-15 (“A moving average”).
Let Yt = 1/5 × (åt + åt-1 + åt-2 + åt-3 + åt-4) and ó2e = 100.
A. What is ãt,t, the variance of Yt?
B. What is ãt,t-3, the covariance of Yt and Yt-3?
Write out the derivations in the format shown on page 15.