A risk manager at a major global bank is performing a time series analysis of equity returns. To ensure the time series is classified as covariance stationary, one of the criteria that must be met is?

Exam-Like

The distribution of a time series should have a kurtosis value near 3.0, ensuring no fat tails will distort stationarity.

7.9%

The distribution of a time series should have a skewness value near O, so that its mean will fall in the center of the distribution.

10.5%

The autocovariance of a covariance stationary time series depends only on the lag, h, between observations, not on time.

73.7%

When the autocovariance function is asymmetric with respect to lag, h, forward looking stationarity can be achieved.

7.9%

Financial Risk Manager Part 1