问题如下:
7.Based on Exhibit 5, Busse should conclude that the variance of the error terms for Company #1:
选项:
A. is constant.
B. can be predicted.
C. 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
老师,这题想请教一下,书上讲的回归模型中检验异方差用BP,AR模型中检验异方差用ARCH,这道题中是一个公司股价关于油价的回归模型,为什么用ARCH来检验异方差呢?