NO.PZ201709270100000407
问题如下:
7.Based on the mean-reverting level implied by the AR(1) model regression output in Exhibit 1, the forecasted oil price for September 2015 is most likely to be:
选项: less than $42.86.
equal to $42.86.
C.greater than $42.86.
解释:
C is correct. The mean-reverting level from the AR(1) model is calculated as
Therefore, the mean-reverting WTI oil price from the AR(1) model is $68.45. The forecasted oil price in September 2015 will likely be greater than $42.86 because the model predicts that the price will rise in the next period from the August 2015 price of $42.86.
如果68.45是mean reveting吗,Xt 不是和mean相比?
我有点糊涂,条件里的42.XX和这个mean reverting关系,
如果Xt>mean reverting ,Xt+1
预测2015年9月份我用的182带入AR1,我拿AR1的值和42比的,感觉自己不是很理解这个XT和XThat