Actuarial Notes

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

Concepts tested

More questions from this set