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kevinzhu · 2022年02月21日

First-differenced log AR(2) model是不是更加准确？

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ201709270100000509

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.

1、First-differenced log AR(2) model是不是更加准确？

2、如果company 3的AR是Yes，那么怎么做？

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星星_品职助教 · 2022年02月22日

同学你好，

1）AR（2）在这道题里不是必须，AR模型本身就可以用于修复Trend Model的serial correlation。但如果写成First-differenced log AR(2) model也可以选。

2）有ARCH说明有条件异方差问题，此时还需要先修正异方差，例如用General Least Squared的方法。

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