问一道题：NO.PZ2018101001000065

问题如下：

If given the time series is ARCH(1) and the model is ε_t²=a₀+a₁ε_t-1²+u_t, which of the followings is most likely correct?

选项：

a₁ is not significantly different from 0.

a₁ is significantly different from 0.

the variance of the error terms for this time series cannot be predicted.

解释：

B is correct.

考点: ARCH & summary of AR assumption.

解析：若一个时间序列的ARCH(1)成立，则模型中的a₁不等于0，并且这组时间序列的方差是可以被预测的。所以只有B选项正确。