- CFA Exams
- CFA Level I Exam
- Study Session 2. Quantitative Methods (1)
- Reading 6. Time-Series Analysis
- Subject 5. Autoregressive Conditional Heteroskedasticity Models

###
**CFA Practice Question**

Assume a time series model has ARCH (1) errors. The variance of the errors in period t + 1 is modeled as σ

_{t+1}^{2}= 5.2 + 0.35 σ_{t}^{2}. If the variance of the errors in one period is 2, the predicted variance of the error in the next period should be ______.Correct Answer: 5.9

5.2 + 0.35 x 2 = 5.9.

###
**User Contributed Comments**
0

You need to log in first to add your comment.