- CFA Exams
- CFA Level I Exam
- Study Session 2. Quantitative Methods (1)
- Reading 6. Time-Series Analysis
- Subject 2. Autoregressive (AR) Time-Series Models
CFA Practice Question
Which models are the most frequently used time-series models in financial forecasting?
A. Auto-regressive models.
B. Random walk models.
C. Moving average models.
Explanation: Most financial time series have the qualities of an autoregressive process.
User Contributed Comments 2
| User | Comment |
|---|---|
| REITboy | A random walk is one of the most widely "studied" time series models for financial data, but not the mostly frequently "used", according to the reading. |
| StJohnDale | Auto-regressive - time series regressed on its own past - independent variable is a lagged value of dependent variable; Random walk - time series - value in one period is the value in the previous period plus a random unpredictable error |