CFA Practice Question

There are 208 practice questions for this study session.

CFA Practice Question

The first difference of a random walk time series

I. is covariance stationary.
II. has a mean-reverting level of 1.
III. is a special case of AR(1) model.
A. I and III
B. II and III
C. I, II, and III
Explanation: I: the variance is σ2. II: it has a mean-reverting level of 0. III: In this case, both b0 and b1 are 0, and yt = εt.

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