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Basic Question 7 of 8
The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model extends the ARCH model by including:
A. Only lagged residuals.
B. Both lagged residuals and lagged conditional variances.
C. Exogenous variables.
D. No additional terms.
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Edward Liu
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.