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Let us store some values, to use them as benchmark If we fit a MA(1) model after two lags, the forecast is null, and the (conditional) variance remains constant. Itre moving from this fantasy 10 figure the more we analyse a small piece of hard (audited) data. Lets start: Oct 13, 0:00: EURUSD: Recovers Higher On Correction: EURUSD: Except EUR returns above the 1.

Section 4 presents the forecasting accuracy metrics.

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