medium · FRM Part 1 Quantitative Analysis
A risk manager is using an AR(1) model: x_t = 0.4 + 0.8 x_t-1 + ε_t.
If the current value x_T = 5.0, what is the 2-step ahead forecast (x_T+2)?
- 2.00
- 4.40
- 3.92
- 3.60
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