- 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
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.
Correct Answer: C
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