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Basic Question 8 of 8
Which statistical test is commonly used to diagnose the presence of ARCH effects in residuals?
A. Durbin-Watson test.
B. Augmented Dickey-Fuller test.
C. Engle's ARCH LM test.
D. Shapiro-Wilk test.
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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.