Question 1

Which test is commonly performed to check for the presence of ARCH effects?

Accepted Answer

A) Chow test 
B) Wald test 
C) LM 
D) F-test 
A) Chow test 
B) Wald test 
C) LM 
D) F-test C

Question 2

In a GARCH(p,q)model,what does the q indicate?

Accepted Answer

A) the number of lagged h terms 
B) the number of lagged e2 terms 
C) the number of endogenous variables in a system 
D) the number of excluded exogenous variables that can be instruments 
A) the number of lagged h terms 
B) the number of lagged e2 terms 
C) the number of endogenous variables in a system 
D) the number of excluded exogenous variables that can be instruments B

Question 3

How are ARCH models estimated?

Accepted Answer

A) OLS 
B) 2SLS 
C) GLS 
D) ML 
A) OLS 
B) 2SLS 
C) GLS 
D) ML D

Question 4

What does the T in T-ARCH stand for and when is it used?

Accepted Answer

A) threshold,used to model asymmetric effects 
B) two stage,used to model indirect effects 
C) time,used to model time varying heteroskedasticity 
D) total,used to model total variance 
A) threshold,used to model asymmetric effects 
B) two stage,used to model indirect effects 
C) time,used to model time varying heteroskedasticity 
D) total,used to model total variance

Question 5

If you reject the null hypothesis when testing for ARCH effects,what should you conclude?

Accepted Answer

A) the variance changes over time 
B) the variance is constant 
C) the mean is constant 
D) the mean varies over time 
A) the variance changes over time 
B) the variance is constant 
C) the mean is constant 
D) the mean varies over time

Question 6

What does it mean for a model to be GARCH-in-mean?

Accepted Answer

A) the mean and variance both move over time but are independent 
B) the mean is constant but variance changes over time 
C) the mean increases while variance is constant 
D) the mean increases with the variance 
A) the mean and variance both move over time but are independent 
B) the mean is constant but variance changes over time 
C) the mean increases while variance is constant 
D) the mean increases with the variance

Question 7

In an ARCH(1)model E(yt|xt-1)has a _____________ distribution while E(yt)has a ____________ distribution.

Accepted Answer

A) leptokuric,normal 
B) binomial,leptokuric 
C) normal,binomial 
D) normal,leptokuric 
A) leptokuric,normal 
B) binomial,leptokuric 
C) normal,binomial 
D) normal,leptokuric

Question 8

Suppose there is a series,Yt,modeled by the following three equations: yt = $\phi$ +et  (1)
Et|It-1 N(0, ht)(2)
Ht = $\alpha$ 0+$\alpha$ 1 e2t-1,$\alpha$ 0 0 ≤$\alpha$1$\lt$1
Equation 2 indicates the error term is

Accepted Answer

A) normally distributed 
B) conditionally normal 
C) bi-modally distributed 
D) binomially distributed 
A) normally distributed 
B) conditionally normal 
C) bi-modally distributed 
D) binomially distributed

Question 9

What is the primary advantage of a GARCH model rather than an ARCH model?

Accepted Answer

A) fewer parameters to be estimated 
B) fewer assumptions required 
C) normally distributed estimators 
D) lower variance of estimates 
A) fewer parameters to be estimated 
B) fewer assumptions required 
C) normally distributed estimators 
D) lower variance of estimates

Question 10

A model with the following conditional variance function is what type of model? ht= $\alpha$ 0 +$\alpha$1 e2t-1 + $\alpha$ 2 e2t-2 + +$\alpha$3 e2t-3

Accepted Answer

A) ARCH(3) 
B) ARDL(2) 
C) ARDL(3) 
D) VAR 
A) ARCH(3) 
B) ARDL(2) 
C) ARDL(3) 
D) VAR

Question 11

Suppose there is a series,Yt,modeled by the following three equations: yt = $\phi$ +et
Et|It-1  N(0ht)
Ht = $\alpha$ 0 +$\alpha$ 1 e2t-1,$\alpha$ 0 $\gt$0 ≤$\alpha$ 1 $\lt$1
This model is classified as a(n)

Accepted Answer

A) ARCH(1) 
B) ECM 
C) ARDL(1) 
D) VAR 
A) ARCH(1) 
B) ECM 
C) ARDL(1) 
D) VAR

Question 12

What does ARCH abbreviate?

Accepted Answer

A) autoregressive conditional heteroskedastic 
B) alternative regression creating homoscedasticity 
C) all regression characteristic hierarchy 
D) abbreviated regular consistent hypothesis 
A) autoregressive conditional heteroskedastic 
B) alternative regression creating homoscedasticity 
C) all regression characteristic hierarchy 
D) abbreviated regular consistent hypothesis

Question 13

In a GARCH(p,q)model,what does the p indicate?

Accepted Answer

A) the number of lagged h terms 
B) the number of lagged e2 terms 
C) the number of endogenous variables in a system 
D) the number of excluded exogenous variables that can be instruments 
A) the number of lagged h terms 
B) the number of lagged e2 terms 
C) the number of endogenous variables in a system 
D) the number of excluded exogenous variables that can be instruments

Question 14

What type of model is most useful for modeling volatility of financial data?

Accepted Answer

A) VEC 
B) VAR 
C) ARCH(1) 
D) ARDL(1) 
A) VEC 
B) VAR 
C) ARCH(1) 
D) ARDL(1)

Question 15

When compared to a normal distribution,what does it mean for a distribution to be leptokuric?

Accepted Answer

A) flatter around the mean and fatter tails 
B) more peaked around mean and fatter tails 
C) more peaked around mean and larger variance 
D) flatter around mean and larger variance 
A) flatter around the mean and fatter tails 
B) more peaked around mean and fatter tails 
C) more peaked around mean and larger variance 
D) flatter around mean and larger variance

Which test is commonly performed to check for the presence of ARCH effects?

In a GARCH(p,q)model,what does the q indicate?

How are ARCH models estimated?

What does the T in T-ARCH stand for and when is it used?

If you reject the null hypothesis when testing for ARCH effects,what should you conclude?

What does it mean for a model to be GARCH-in-mean?

In an ARCH(1)model E(y_t|x_t-1)has a _____________ distribution while E(y_t)has a ____________ distribution.

Suppose there is a series,Y_t,modeled by the following three equations: y_t = $\phi$ +e_t (1) E_t|I_t-1 N(0, h_t)(2) H_t = $\alpha$ ₀+ $\alpha$ ₁ e²_t-1, $\alpha$ ₀ 0 ≤ $\alpha$ ₁ $\lt$ 1 Equation 2 indicates the error term is

What is the primary advantage of a GARCH model rather than an ARCH model?

A model with the following conditional variance function is what type of model? h_t= $\alpha$ ₀ + $\alpha$ ₁ e²_t-1 + $\alpha$ ₂ e²_t-2 + + $\alpha$ ₃ e²_t-3

Suppose there is a series,Y_t,modeled by the following three equations: y_t = $\phi$ +e_t E_t|I_t-1 N(0h_t) H_t = $\alpha$ ₀ + $\alpha$ ₁ e²_t-1, $\alpha$ ₀ $\gt$ 0 ≤ $\alpha$ ₁ $\lt$ 1 This model is classified as a(n)

What does ARCH abbreviate?

In a GARCH(p,q)model,what does the p indicate?

What type of model is most useful for modeling volatility of financial data?

When compared to a normal distribution,what does it mean for a distribution to be leptokuric?

An Introduction to Econometrics

Pp : Prob, Probability Primer, Probability Primer

The Simple Linear Regression Model

Interval Estimation and Hypothesis Testing

Prediction, Goodness-Of-Fit and Modeling Issues

The Multiple Regression Model

Further Inference in the Multiple Regression Model

Using Indicator Variables

Heteroskedasticity

Regression With Time Series Data: Stationary Variables

Random Regressors and Moment Based Estimation

Simultaneous Equations Models

Regression With Time Series Data: Nonstationary Variables

Vector Error Correction and Vector Autoregressive Models

Panel Data Models

Qualitative and Limited Dependent Variable Models

Filters

Exam 15: Time-Varying Volatility and Arch Models

Which test is commonly performed to check for the presence of ARCH effects?

In a GARCH(p,q)model,what does the q indicate?

How are ARCH models estimated?

What does the T in T-ARCH stand for and when is it used?

If you reject the null hypothesis when testing for ARCH effects,what should you conclude?

What does it mean for a model to be GARCH-in-mean?

In an ARCH(1)model E(yt|xt-1)has a _____________ distribution while E(yt)has a ____________ distribution.

Suppose there is a series,Yt,modeled by the following three equations: yt = ϕ\phiϕ +et (1) Et|It-1 N(0, ht)(2) Ht = α\alphaα 0+ α\alphaα 1 e2t-1, α\alphaα 0 0 ≤ α\alphaα 1 <\lt< 1 Equation 2 indicates the error term is

What is the primary advantage of a GARCH model rather than an ARCH model?

A model with the following conditional variance function is what type of model? ht= α\alphaα 0 + α\alphaα 1 e2t-1 + α\alphaα 2 e2t-2 + + α\alphaα 3 e2t-3

Suppose there is a series,Yt,modeled by the following three equations: yt = ϕ\phiϕ +et Et|It-1 N(0ht) Ht = α\alphaα 0 + α\alphaα 1 e2t-1, α\alphaα 0 >\gt> 0 ≤ α\alphaα 1 <\lt< 1 This model is classified as a(n)

What does ARCH abbreviate?

In a GARCH(p,q)model,what does the p indicate?

What type of model is most useful for modeling volatility of financial data?

When compared to a normal distribution,what does it mean for a distribution to be leptokuric?

An Introduction to Econometrics

Pp : Prob, Probability Primer, Probability Primer

The Simple Linear Regression Model

Interval Estimation and Hypothesis Testing

Prediction, Goodness-Of-Fit and Modeling Issues

The Multiple Regression Model

Further Inference in the Multiple Regression Model

Using Indicator Variables

Heteroskedasticity

Regression With Time Series Data: Stationary Variables

Random Regressors and Moment Based Estimation

Simultaneous Equations Models

Regression With Time Series Data: Nonstationary Variables

Vector Error Correction and Vector Autoregressive Models

Panel Data Models

Qualitative and Limited Dependent Variable Models

Filters

In an ARCH(1)model E(y_t|x_t-1)has a _____________ distribution while E(y_t)has a ____________ distribution.

Suppose there is a series,Y_t,modeled by the following three equations: y_t = $\phi$ +e_t (1) E_t|I_t-1 N(0, h_t)(2) H_t = $\alpha$ ₀+ $\alpha$ ₁ e²_t-1, $\alpha$ ₀ 0 ≤ $\alpha$ ₁ $\lt$ 1 Equation 2 indicates the error term is

A model with the following conditional variance function is what type of model? h_t= $\alpha$ ₀ + $\alpha$ ₁ e²_t-1 + $\alpha$ ₂ e²_t-2 + + $\alpha$ ₃ e²_t-3

Suppose there is a series,Y_t,modeled by the following three equations: y_t = $\phi$ +e_t E_t|I_t-1 N(0h_t) H_t = $\alpha$ ₀ + $\alpha$ ₁ e²_t-1, $\alpha$ ₀ $\gt$ 0 ≤ $\alpha$ ₁ $\lt$ 1 This model is classified as a(n)