Question #87 - Reading 2 Time-Series Analysis

Reading: Reading 2 Time-Series Analysis

PDF File: Reading 2 Time-Series Analysis.pdf

Page: 42

Status: Unattempted

Correct Answer: A

Shared Context

- The test mentioned by Jessica is known as the: A) Breusch-Pagan, which is a two-tailed test. B) Breusch-Pagan, which is a one-tailed test. C) Durbin-Watson, which is a two-tailed test.

Question

Assuming the a1 term of an ARCH(1) model is significant, the following can be forecast:

Answer Choices:

A. The variance of the error term

B. A significant a1 implies that the ARCH framework cannot be used

C. The square of the error term

Explanation

A Model is ARCH(1) if the coefficient a1 is significant. It will allow for the estimation of the variance of the error term.

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