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Basic Question 11 of 11
Which metric is commonly used to assess the performance of out-of-sample forecasts?
A. Root Mean squared error (RMSE)
B. p-value
C. F-statistic
D. R-squared
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I used your notes and passed ... highly recommended!
Lauren
Learning Outcome Statements
describe the structure of an autoregressive (AR) model of order p and calculate one- and two-period-ahead forecasts given the estimated coefficients;
explain how autocorrelations of the residuals can be used to test whether the autoregressive model fits the time series;
explain mean reversion and calculate a mean-reverting level;
contrast in-sample and out-of-sample forecasts and compare the forecasting accuracy of different time-series models based on the root mean squared error criterion;
CFA® 2025 Level II Curriculum, Volume 1, Module 5.