问题如下:
If given the time series is ARCH(1) and the model is εt2=a0+a1εt-12+ut, which of the followings is most likely correct?
选项:
A.a1 is not significantly different from 0.
B.a1 is significantly different from 0.
C.the variance of the error terms for this time series cannot be predicted.
解释:
B is correct.
考点: ARCH & summary of AR assumption.
解析:若一个时间序列的ARCH(1)成立,则模型中的a1不等于0,并且这组时间序列的方差是可以被预测的。所以只有B选项正确。
老师好 这样理解对吗? A 不等于0, 于是ARCH 成立, conditional 异方差成立 也就是残差项的方差会随着T的变化而变化 才能用时间序列方程 是吗? 谢谢。