Does anyone know whether the mean reverting formula B0/1-B1 is used in all AR models or just AR(1). The Schweser video says it is used in AR(1) but its not clear if its just that order.
I think only in AR(1).
I think so. It is based on Xt=Xt-1
Does anyone know whether the mean reverting formula B0/1-B1 is used in all AR models or just AR(1). The Schweser video says it is used in AR(1) but its not clear if its just that order.
I think only in AR(1).
I think so. It is based on Xt=Xt-1