When the Underlying Mean of a Time Series Changes Frequently

Multiple Choice

When the underlying mean of a time series changes frequently but there is no trend,cyclical,or seasonal influence,

A) a simple moving average forecast with n = 20 should outperform a simple moving average forecast with n = 3.
B) a simple moving average forecast with n = 3 should outperform a simple moving average forecast with n = 20.
C) a simple moving average forecast with n = 20 should perform about the same as a simple moving average forecast with n = 3.
D) an exponential smoothing forecast with alpha = 0.01 should outperform a exponential smoothing forecast with alpha = 0.30.