DESMOOTHRETURNS
Desmooth time series returns using a first-order autoregressive model.
Description
For certain time series, analysts may need to employ an autoregressive model to adjust or desmooth its returns. The first-order autoregressive model assumes that the return in a given period is a linear function of the return in the previous period plus an intercept and an error term.
Syntax
The following describes the function signature for use in Microsoft Excel's formula bar.
Input(s)
| Argument | |
|---|---|
assetReturns | Required. Time series or matrix of asset returns. |
solveEndValueOnly | Optional. Logical to indicate whether to only solve for an end of time series value, or to adjust and return all observations. If you do not enter the argument, it defaults to FALSE. |
Output(s)
Time series or matrix of adjusted (desmoothed) returns.
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