- CFA Exams
- CFA Level I Exam
- Topic 1. Quantitative Methods
- Learning Module 5. Time-Series Analysis
- Subject 2. Autoregressive (AR) Time-Series Models
CFA Practice Question
Consider the following output of an AR(1) model.
The mean-reverting level is closest to:
Correct Answer: 31.39
The mean-reverting level can be expressed as: xt = b0/(1 - b1) = 31.4/(1 - (-0.0006827)) = 31.39
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