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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 was very pleased with your notes and question bank. I especially like the mock exams because it helped to pull everything together.
Martin Rockenfeldt
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.