- 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
If a time series model contains ARCH (1) errors,
II. The variance of the error terms is not reliable.
III. The coefficients of the regression parameters are not correct.
I. The standard errors for the regression parameters are not correct.
II. The variance of the error terms is not reliable.
III. The coefficients of the regression parameters are not correct.
Correct Answer: I only
User Contributed Comments 3
| User | Comment |
|---|---|
| quanttrader | fix with robust standard errors or White-corrected standard errors |
| sahilb7 | Why not II? |
| b25331 | Not II, because if a time series contains ARCH(1) errors, the variance of these errors in period t+1 can be predicted in period t |