CAS Exam MAS-I Spring 2019, Question 42
Study guide: Exam MAS-II
Consider the following time-series data for price of a stock on January 1 for the last 5 years:
| Date | Jan 1, 2013 | Jan 1, 2014 | Jan 1, 2015 | Jan 1, 2016 | Jan 1, 2017 |
|---|---|---|---|---|---|
| Price | 63.18 | 81.89 | 103.43 | 123.90 | 133.53 |
Calculate the sample autocorrelation at lag 1 for this data.
- A) Less than 0.2
- B) At least 0.2, but less than 0.4
- C) At least 0.4, but less than 0.6
- D) At least 0.6, but less than 0.8
- E) At least 0.8
Answer this question and see the worked solution