Page 50 - FINAL CFA II SLIDES JUNE 2019 DAY 3
P. 50
READING 9: TIME SERIES ANALYSIS
What if the current capacity
utilization was 95?
The level of manufacturing capacity utilization for the next period (Xt+1) is expected to fall
below the current level (Xt), obviously heading towards MRT. Goes without saying for below 67.16?
95 67.16
Note: All covariance stationary time series have a finite MRL. An AR(1) time series will have a finite MRL when the absolute
value of the lag coefficient is less than 1 (i.e., |b | < 1). That finite MRL is basically the intercept!
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