NO.PZ2022062760000028
问题如下:
A market risk manager would like to analyze and forecast a security performance and has obtained the historical time series for that security. The manager consults a colleague from the quantitative analytic team who provides the following Partial Autocorrelation Function (PACF) plot:
Based on the plot above, which of the following is the best regression approach for the security?
选项:
A.
AR(1)
B.
MA(1)
C.
AR(2)
D.
MA(2)
解释:
中文解析:
PACF 在第二个延迟后中断。 此行为表示 AR(2) 过程。
The PACF cuts off after the second lag. This behavior indicates an AR(2) process.
为什么是选项c。。。。