exponential发散型的时间序列可以预测error term?

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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：

is constant.

can be predicted.

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

$overset\wedge\sigma_{t+1}^2={\overset\wedge a}_0+{\overset\wedge a}_1\overset\wedge\varepsilon_t^2$

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1 个答案

品职助教_七七 · 2025年02月23日

嗨，爱思考的PZer你好：

exponential对应的是方程应该采用log的形式。在这个case里的另外一道小题里会遇到这个点。

“可以预测error term”对应的Company 1的ARCH(1)为Yes。即ARCH(1)成立。可以通过这个模型去预测。

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NO.PZ201709270100000507 问题如下 7.Baseon Exhibit 5, Busse shoulconclu ththe varianof the error terms for Company #1: A.is constant. B.cprecte C.is homoscesti B is correct. Exhibit 5 shows ththe time series of the stoprices of Company #1 exhibits heteroskesticity, evincethe faththe time series is ARCH(1). If a time series is ARCH(1), then the varianof the error in one periopen on the varianof the error in previous perio.Therefore, the varianof the errors in periot + 1 cprectein periot using the formulaoverset∧σt+12=a∧0+a∧1ε∧t2overset\wee\sigma_{t+1}^2={\overset\wee a}_0+{\overset\wee a}_1\overset\wee\varepsilon_t^2overset∧σt+12=a∧0+a∧1ε∧t2 另请问ARCH右侧一列的是什么意思？

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