Name of QuantLet: SFEacfma2

Published in: Statistics of Financial Markets

Description: Plots the autocorrelation function of a MA(2) (moving average) process for different parameters.

Keywords: 
- acf
- arma
- autocorrelation
- correlation
- discrete
- graphical representation
- linear
- moving-average
- plot
- process
- simulation
- stationary
- stochastic
- stochastic-process
- time-series

See also: 
- SFEacfar1
- SFEacfar2
- SFEacfma1
- SFEpacfma2

Author: Joanna Tomanek, Ying Chen, Christian M. Hafner, Lasse Groth, Daniel T. Pele, Justin Hellermann

Submitted: Mon, June 08 2015 by Lukas Borke

Input: 
- beta1: value of beta_1
- beta_2: value of beta_2
- lag: lag value

Example: Plots the ACF of a MA(2) process with beta1=0.5, beta2=0.4 (top left), beta1=0.5, beta2=-0.4 (top right), beta1=-0.5, beta2=0.4 (bottom left) and beta1=-0.5, beta2=-0.4 (bottom right).

Example[Matlab]: User inputs the SFEacfma2 parameters [lag, beta1, beta2] as [30, 0.5, 0.4]. Plots of the autocorrelation function of MA(2) processes with [β1,β2] = [+/- 0.5, +/- 0.4] are given.