NO.PZ2023040502000041
问题如下:
Luke examines West Texas Intermediate
(WTI) monthly crude oil price data, expressed in US dollars per barrel, for the
181-month period from August 2000 through August 2015.The end-of-month WTI oil
price was$51.16 in July 2015 and $42.86 in August 2015 (Month 181).
AR(1) model: Oil pricet = b0 + b1Oil
pricet–1 + et
Based on the mean-reverting level implied by the AR(1)
model regression output, the forecasted oil price for September 2015 is most
likely to be:
选项:
A.less than $42.86
equal to $42.86
greater than $42.86
解释:
The mean-reverting level from the AR(1) model is calculated as:
b0/(1-b1)=1.5948/(1-0.9767) = $68.45
Therefore, the mean-reverting WTI oil price from the
AR(1) model is $68.45.The forecasted oil price in September 2015 will likely be
greater than $42.86because the model predicts that the price will rise in the
next period from the August 2015 price of $42.86.
i请问如果算出来的均值水平小于8月的价格,那九月的价格要小于42吗?