NO.PZ202304050200004701
问题如下:
The results depicted in Exhibit 2 are best described
as consistent with a regression that has ARCH(1) errors because:
选项:
A.c1 is significantly different from 1
c1 is significantly different from 0
c0 is significantly different from 0
解释:
We can test whether a time series is ARCH by
regressing the squared residuals from a previously estimated time series model
on a constant and one lag of the squared residuals (as in Exhibit 2). If the
estimate of the slope (c1 in Exhibit 2) of the regression of the
squared residuals on the lagged one period squared residuals is statistically
significantly different from 0, the time series is ARCH(1).
这道题是啥意思,C0显著不也可以说明方程成立么。