18. Describe how to test for autoregressive conditional heteroskedasticity (ARCH) in the residuals from the AR(1) regression

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18. Describe how to test for autoregressive conditional heteroskedasticity (ARCH) in the residuals from the AR(1) regression on first differences in the civilian unemployment rate, UERt ¼ b0 þ b1UERt−1 þ εt.

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Quantitative Investment Analysis

ISBN: 9781119743620

4th Edition

Authors: CFA Institute

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Question Posted: Oct 28, 2024 03:02 AM

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18. Describe how to test for autoregressive conditional heteroskedasticity (ARCH) in the residuals from the AR(1) regression on first differences in the civilian unemployment rate, UERt b0 b1UERt1 ...
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18. Describe how to test for autoregressive conditional heteroskedasticity (ARCH) in the residuals from the AR(1) regression

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Quantitative Investment Analysis

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