13: Time-Series Analysis-LOS l习题精选

Which of the following is least likely a consequence of a model containing ARCH(1) errors? The:

Suppose you estimate the following model of residuals from an autoregressive model:

ε_t² = 0.25 + 0.6ε²_t-1 + μ_t, where ε = ε^{^}

If the residual at time t is 0.9, the forecasted variance for time t+1 is:

Suppose you estimate the following model of residuals from an autoregressive model:

ε_t² = 0.25 + 0.6ε²_t-1 + μ_t, where ε = ε^{^}

If the residual at time t is 0.9, the forecasted variance for time t+1 is:

Suppose you estimate the following model of residuals from an autoregressive model:

ε_t² = 0.4 + 0.80ε_t-1² + μ_t, where ε = ε^{^}

If the residual at time t is 2.0, the forecasted variance for time t+1 is:

Suppose you estimate the following model of residuals from an autoregressive model:

ε_t² = 0.4 + 0.80ε_t-1² + μ_t, where ε = ε^{^}

If the residual at time t is 2.0, the forecasted variance for time t+1 is: