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I do not know if this question has been answered but I couldn't find anything similar. I am fitting an ARMA (1,1) on my log returns in R and I decided to use both R and SPSS to check my results. In R I used the following function and got this results
arima(x = data$Log_Change, order = c(0, 0, 1))
Coefficients: ma1 intercept 0.0410 -0.0064 s.e. 0.0198 0.0056
I then tried using SPSS but the estimate of the MA1 is the negative of the ARIMA in R
ARIMA Model Parameters Estimate SE t Sig. Constant -.006 .006 -1.138 .255 MA Lag 1 -.041 .020 -2.093 .036
Can someone explain what am I doing wrong.