I. Module 1 Quiz 1: A little Practice With AR(1)s

Due No due date
Points 11
Questions 11
Time Limit None
Allowed Attempts 3

Instructions

This quiz gives you a little reminder practice with AR(1) and discrete-time time series ideas. It's optional. It should be really easy. If not, spend a little time reviewing discrete time time-series.

Assume that a stock price $x_{t}$ follows the AR(1) process $x_{t+1}=\rho x_{t}+\varepsilon_{t+1}$ , where $\varepsilon_{t}$ are a sequence of i.i.d. normally-distributed random variables with mean 0, variance $\sigma_{\varepsilon}^{2}$ , and $\left\Vert\rho\right\Vert <1$ .

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