NO.PZ202208300200000202
问题如下：
If Kamini is correct regarding the trailing P/E time series, the best forecast of next period’s trailing P/E is most likely to be the:
选项：
A.current period’s trailing P/E. B.forecast derived from applying the AR(1) model depicted in Exhibit 1 to the data. C.average P/E of the time series.解释：
A is correct. If a time series is a random walk, the best forecast of xt that can be made in period t – 1 is xt–1. So, the best forecast of the next period’s trailing P/E is the current period’s trailing P/E.
B is incorrect because random walks are not covariance stationary, so AR(1) models are not appropriate.
C is incorrect because random walks have undefined mean-reverting levels. A mean-reverting process would allow for improved forecasts by incorporating the average value.
random walks 一定不是covariance stationary吗？ 这题哪里可以看出开not covariance stationary?
