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Basic Question 2 of 8
ARCH means:
B. The variance of the error term is not constant in all periods.
C. The variance of the error term in one period depends on the variance of the error in previous periods.
D. The covariance of the time series with itself is not constant in all periods.
A. The error term of the current period is correlated with the error term of the previous period.
B. The variance of the error term is not constant in all periods.
C. The variance of the error term in one period depends on the variance of the error in previous periods.
D. The covariance of the time series with itself is not constant in all periods.
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I am using your study notes and I know of at least 5 other friends of mine who used it and passed the exam last Dec. Keep up your great work!
Barnes
Learning Outcome Statements
explain autoregressive conditional heteroskedasticity (ARCH) and describe how ARCH models can be applied to predict the variance of a time series;
CFA® 2025 Level II Curriculum, Volume 1, Module 5.