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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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I am happy to say that I passed! Your study notes certainly helped prepare me for what was the most difficult exam I had ever taken.
Andrea Schildbach
Learning Outcome Statements
explain how time-series variables should be analyzed for nonstationarity and/or cointegration before use in a linear regression;
determine an appropriate time-series model to analyze a given investment problem and justify that choice.
CFA® 2025 Level II Curriculum, Volume 1, Module 5.