- CFA Exams
- CFA Level I Exam
- Topic 1. Quantitative Methods
- Learning Module 5. Time-Series Analysis
- Subject 6. Autoregressive Conditional Heteroskedasticity Models
CFA Practice Question
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
Correct Answer: A
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