NO.PZ201709270100000507
问题如下:
7.Based on Exhibit 5, Busse should conclude that the variance of the error terms for Company #1:
选项:
A.is constant.
B.can be predicted.
C.is homoscedastic
解释:
B is correct. Exhibit 5 shows that the time series of the stock prices of Company #1 exhibits heteroskedasticity, as evidenced by the fact that the time series is ARCH(1). If a time series is ARCH(1), then the variance of the error in one period depends on the variance of the error in previous periods.
Therefore, the variance of the errors in period t + 1 can be predicted in period t using the formula
另请问ARCH右侧一列的解释是什么意思?