- CFA Exams
- CFA Level I Exam
- Study Session 2. Quantitative Methods (1)
- Reading 6. Time-Series Analysis
- Subject 3. Random Walks and Unit Roots
CFA Practice Question
A random walk is a special case of an AR (1) model with
A. b0 = 0 and b1 = 0.
B. b0 = 1 and b1 = 0.
C. b0 = 0 and b1 = 1.
Explanation: b0 = 0 and b1 = 1 so xt = xt-1 + εt
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