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Basic Question 6 of 8
In an ARCH(1) model, the conditional variance at time t is expressed as a function of:
A. Lagged residuals at time t - 1.
B. Lagged conditional variances at time t ? 1.
C. Current residuals at time t.
D. Future returns at time t + 1
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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.