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CFA Level II Vignettes Quantitative Finance Time Series MCQs Test 3
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General

CFA Level II Vignettes Quantitative Finance Time Series MCQs Test 3

Practice CFA 2026 Level II Vignettes Quantitative Finance MCQs from Time Series. Get instant results with Explanation.
Practice Quiz 3 for "Time Series" (Quantitative Finance). Total 30 MCQs available, split into 3 quizzes. Challenge yourself with advanced application-based questions. Mastering these concepts is essential for securing a high percentile in CFA.
General10 MCQs
1. Vignette 5: Forecasting & Evaluation - Given three forecast errors: 0.1, -0.2, 0.3. Calculate the RMSE and MAE.
2. Which forecast accuracy metric is scale‑independent and expresses error as a percentage of actual values?
3. For a time series model, what is the optimal forecast under a quadratic loss function?
4. What forecasting method uses a fixed window of observations that moves forward in time?
5. How is a 95% confidence interval for a point forecast typically constructed?
General10 MCQs
6. Vignette 6: Volatility Modeling - What is the equation for an ARCH(1) model?
7. What is the specification of a GARCH(1,1) model?
8. Which test is used to detect the presence of ARCH effects in a time series?
9. What is the long‑run unconditional variance in a GARCH(1,1) model?
10. Which extension of GARCH models captures the leverage effect (asymmetric volatility response to news)?

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