Why should I choose AnalystNotes?
AnalystNotes specializes in helping candidates pass. Period.
Basic Question 4 of 8
Assume a time series model has ARCH (1) errors. The variance of the errors in period t + 1 is modeled as σt+12 = 5.2 + 0.35 σt2. If the variance of the errors in one period is 2, the predicted variance of the error in the next period should be ______.
User Contributed Comments 0
You need to log in first to add your comment.
I just wanted to share the good news that I passed CFA Level I!!! Thank you for your help - I think the online question bank helped cut the clutter and made a positive difference.
Edward Liu
Learning Outcome Statements
explain autoregressive conditional heteroskedasticity (ARCH) and describe how ARCH models can be applied to predict the variance of a time series;
CFA® 2025 Level II Curriculum, Volume 1, Module 5.