CFA Practice Question

There are 208 practice questions for this study session.

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
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