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PZmomo · 2024年04月30日

B选项是什么意思？

  1. CFA II
  2. Quantitative

NO.PZ2023040502000039

问题如下：

Kamini replies, “I’m convinced the P/E series based on trailing earnings truly is a random walk.”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：

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选项是什么意思？

如果是有漂移项，还只是参考上期的数值吗？

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1 个答案

品职助教_七七 · 2024年05月01日

嗨，爱思考的PZer你好：


B选项： 对于服从random walk时间序列数据，其预测值可以通过AR模型得出。该说法明显错误，可直接排除。


如果只说“random walk”，那么通常指的就是没有drift项的simple random walk。在这个基础上，才有 下期数据的预测值就是当期数据 这个结论。如果有drift则该结论不成立，一般也不会这么去考。

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2024-04-03 09:40 1 · 回答