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Basic Question 8 of 8
Which statistical test is commonly used to diagnose the presence of ARCH effects in residuals?
A. Durbin-Watson test.
B. Augmented Dickey-Fuller test.
C. Engle's ARCH LM test.
D. Shapiro-Wilk test.
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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.