Tuesday, January 08, 2019
MZ Digital Marketing Agency
Autoregressive AR models are used a lot in forecasting and prediction.
The problem with standard AR models is that they use normal Gaussian errors.
We all know that financial returns are not normally distributed.
We can use Bayesian analysis and build AR models that have long tail returns.
We use student t distribution to model the long tail behavior of the financial returns.
from MQL5: Traders' Blogs http://bit.ly/2AyY2Qe
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