Xander Feng is a quantitative analyst with Red Star Securities Ltd., a company b

Question

Xander Feng is a quantitative analyst with Red Star Securities Ltd., a company based in Shanghai, China. Red Star provides stock brokering and investment advisory services to institutional investors. Extending its regular business, the firm also maintains equity and fixed income investment research teams. Feng is a member of this team. Feng is forecasting quarterly sales of Xiomi Inc, a smart phone manufacturer based in China. The regression model is: The regression results for the model are presented in the table below: Regression statistics Observations 120 Coefficient Standard Error Intercept313.24 99.43 Lag 1 0.67 0.16 The mean-reverting level of the autoregressive time series to predict sales of Xiomi is closest to A 949 B 467 c ) 313

Explanation / Answer

as we know that mean reverting level of the autoregressive time series =bo/(1-b1)

hence mean reverting level =313.24/(1-.67)=949

option A is correct

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