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Suppose that r t follows the model r t = r t1 + a t 0.9 a t1 , and we have r 1001 =

Suppose that rt follows the model rt = rt1 + at 0.9at1, and we have r1001 = 1.2 and r1000 (1) = 1.0, where rt(1) denotes the 1 step ahead prediction of rt+1 at the forecast origin t. Compute r1001(1).

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