Q1. David Brice, CFA, has used an AR(1) model to forecast the next period’s interest rate to be 0.08. The AR(1) has a positive slope coefficient. If the interest rate is a mean reverting process with an unconditional mean, a.k.a., mean reverting level, equal to 0.09, then which of the following could be his forecast for two periods ahead? A) 0.113. B) 0.081. C) 0.072.
Q2. Which of the following statements regarding a mean reverting time series is FALSE? A) If the current value of the time series is above the mean reverting level, the prediction is that the time series will increase. B) If the current value of the time series is above the mean reverting level, the prediction is that the time series will decrease. C) If the time-series variable is x, then xt = b0 + b1 xt.
Q3. Suppose that the time series designated as Y is mean reverting. If Yt+1 = 0.2 + 0.6 Yt, the best prediction of Yt+1 is: A) 0.3. B) 0.8. C) 0.5.
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发表于 2009-1-10 16:40
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