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Cooljas · 2024年05月03日

MA和AR要怎么从图上区分啊?

NO.PZ2023091601000065

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:

The PACF cuts off after the second lag. This behavior indicates an AR(2) process.

MA和AR要怎么从图上区分啊?

1 个答案

品职答疑小助手雍 · 2024年05月05日

同学你好,结合另一道题的回复,对于PACF的图来说,MA的PACF是在decay的。

AR的则是截尾的效果,就跟本题一样。

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