SOA SRMStatistics for Risk Modeling

Associateship (ASA)

3.5 hours·35 multiple-choice·≈250 study hours

Score 0/0 · 8 MC

SRM · Q1
Multiple choice
Time series
An AR(1) model is $y_t=5+0.6y_{t-1}+\varepsilon_t$ . Given $y_{100}=20$ , calculate the 2-step-ahead point forecast $\hat y_{102}$ .