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David Brice, CFA, has tried to use an AR(1) model to predict a given exchange rate. Brice has concluded the exchange rate follows a random walk without a drift. The current value of the exchange rate is 2.2. Under these conditions, which of the following would be least likely? A. The forecast for next period is 2.2. B. The process is not covariance stationary. C. The residuals of the forecasting model are autocorrelated. |