- 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
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.
Correct Answer: B
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