题目
Assume the shock (aka, innovation), ε(t), in a time series is approximated by Gaussian white noise. The lagged (yesterday's) realization was 0.0160 and the lagged shock was -0.280;i.e., y(t-1) = 0.0160 and ε(t-1) = -0.280. Today's shock, ε(t), is 0.190. If the weight parameter theta, θ, is equal to 0.60, which is nearest to the today's realization, y(t), under a first-order moving average, MA(1), process?
选项
A.-0.0027
B.0.0018
C.0.0220
D.0.1140
答案
C
解析
0.0220=0.190+0.60×(-0.280) as the MA(1) is given by y(t)= ε(t) + θ×ε(t-1). 0.0220=0.190 0.60×(-0.280) MA（1）模型公式为y(t)= ε(t) θ×ε(t?1)