问一道题：NO.PZ201709270100000507

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问题如下：

7.Based on Exhibit 5, Busse should conclude that the variance of the error terms for Company #1:

选项：

is constant.

can be predicted.

is homoscedastic

解释：

B is correct. Exhibit 5 shows that the time series of the stock prices of Company #1 exhibits heteroskedasticity, as evidenced by the fact that the time series is ARCH(1). If a time series is ARCH(1), then the variance of the error in one period depends on the variance of the error in previous periods.

Therefore, the variance of the errors in period t + 1 can be predicted in period t using the formula

[#PZMATH1350#]

公式去哪里了？公式去哪里了？

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1 个答案

星星_品职助教 · 2019年11月08日

这里哈

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NO.PZ201709270100000507 问题如下 7.Baseon Exhibit 5, Busse shoulconclu ththe varianof the error terms for Company #1: A.is constant. B.cprecte C.is homoscesti B is correct. Exhibit 5 shows ththe time series of the stoprices of Company #1 exhibits heteroskesticity, evincethe faththe time series is ARCH(1). If a time series is ARCH(1), then the varianof the error in one periopen on the varianof the error in previous perio.Therefore, the varianof the errors in periot + 1 cprectein periot using the formulaoverset∧σt+12=a∧0+a∧1ε∧t2overset\wee\sigma_{t+1}^2={\overset\wee a}_0+{\overset\wee a}_1\overset\wee\varepsilon_t^2overset∧σt+12=a∧0+a∧1ε∧t2 另请问ARCH右侧一列的是什么意思？

2023-12-10 12:21 1 · 回答

cprecte is homoscestic B is correct. Exhibit 5 shows ththe time series of the stoprices of Company #1 exhibits heteroskesticity, evincethe faththe time series is ARCH(1). If a time series is ARCH(1), then the varianof the error in one periopen on the varianof the error in previous perio. Therefore, the varianof the errors in periot + 1 cprectein periot using the formula overset∧σt+12=a∧0+a∧1ε∧t2overset\wee\sigma_{t+1}^2={\overset\wee a}_0+{\overset\wee a}_1\overset\wee\varepsilon_t^2overset∧σt+12=a∧0+a∧1ε∧t2老师，这题想请教一下，书上讲的回归模型中检验异方差用BP，AR模型中检验异方差用ARCH，这道题中是一个公司股价关于油价的回归模型，为什么用ARCH来检验异方差呢？

2020-12-01 05:57 1 · 回答

老师能详细的一下吗？不太懂这个的解题思路

2019-04-20 15:12 1 · 回答

不好意思，麻烦再问一下C的同方差是什么意思，为什么不对。

2019-04-13 04:04 1 · 回答

问一道题：NO.PZ201709270100000507

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