I am studying share price log returns and AR(1) model. I downloaded data from $FTSE100$ and I used the Adj.close column to find the Ln returns:
Now I am trying to understand how can I estimate an AR(1) model using this information.
I understand the AR(1) model. I did a couple of example in excel, but I do not understand how the ln returns are related to that.
AR(1) is given by:
I assume that I need to find values for $\phi$ and $\alpha$ to try to fit the AR(1) model but I am confused.
Can anyone help me on this?