A
Acadi
Fi
Courses
Knowledge Hub
Community
Practice
Pricing
About
Search
⌘K
Question Bank
/
FRM
/
Part I
/
Quantitative Analysis
Quantitative Analysis
Easy
A risk manager applies the Engle LM test to squared residuals from a return model using 400 observations and 4 lags. The R-squared of the auxiliary regression is 0.065. The test statistic and conclusion at the 5% significance level are:
A
Test statistic = 26.0; reject H0 — ARCH effects are present (critical value = 9.49)
B
Test statistic = 26.0; fail to reject H0 — no ARCH effects (critical value = 9.49)
C
Test statistic = 0.065; fail to reject H0 — no ARCH effects
D
Test statistic = 6.5; reject H0 — ARCH effects are present
Select an answer to continue
Tags
#engle-lm-test
#arch-effects
#chi-squared-test
#volatility-clustering
More Quantitative Analysis questions
Start full Part I quiz