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Basic Question 6 of 8
In an ARCH(1) model, the conditional variance at time t is expressed as a function of:
A. Lagged residuals at time t - 1.
B. Lagged conditional variances at time t ? 1.
C. Current residuals at time t.
D. Future returns at time t + 1
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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.