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Luna · 2020年02月23日

问一道题:NO.PZ201709270100000509 第9小题 [ CFA II ]

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问题如下:

9.Based on Exhibit 5, which single time-series model would most likely be appropriate for Busse to use in predicting the future stock price of Company #3?

选项:

A.

Log-linear trend model

B.

First-differenced AR(2) model

C.

First-differenced log AR(1) model

解释:

C is correct. As a result of the exponential trend in the time series of stock prices for Company #3, Busse would want to take the natural log of the series and then first-difference it. Because the time series also has serial correlation in the residuals from the trend model, Busse should use a more complex model, such as an autoregressive (AR) model.

老师,请教一下表格第二列expotential是什么意思,怎么看出来需要用log。
1 个答案

星星_品职助教 · 2020年02月23日

同学你好,

expotential trend 是指数的趋势,这种情况就需要用log将曲线关系转化为线性关系。可以复习log-linear model的相关内容。

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