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)
MA(1)
AR(2)
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?