3. When will the ARMA(1,1) model (r2 = % +9,12-1 + ay – 01 Qt-1) be weakly 2 always weakly stationary b. when [6] <1 c.

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3 When Will The Arma 1 1 Model R2 9 12 1 Ay 01 Qt 1 Be Weakly 2 Always Weakly Stationary B When 6 1 C 1 (72.6 KiB) Viewed 19 times

3. When will the ARMA(1,1) model (r2 = % +9,12-1 + ay – 01 Qt-1) be weakly 2 always weakly stationary b. when [6] <1 c. when @! <1 d when 10,/< 1 and 18,/<1 e. none of the above is correct 4. Which of the following property is not true for a random walk process? 2. volatility clustering b. nonstationary C. strong memory d has a unit root 5. Which of the following is not true for ARCH(1) model (a, = 04&t,o= æg + aja?-1), where & has mean 0 and variance 1? 2. mean Ea.) = 0 b. variance Var(q) = ao/(1 – ay) if 0 <a<1 generates heavy tails under some parameter conditions d generates asymmetry between positive and negative prior retums