Variance of AR(p) - wrong formula

[LeonardoFRMPart2]

Hi everyone,

On page 167 of Quantitative Analysis the variance of an AR(p) is definitely wrong. On youtube other formulas are provided as well. The formula on p.167 misses squared terms and the covariances between the lags. As a result the solution used for 10.9 which is an AR(2) on page 186 is wrong as well.

Any views on this?

Thanks!

 

[David Harper CFA FRM]

HI @LeonardoFRMPart1 Agreed, when I last looked, I believed they did get the variance correct for AR(1) but incorrect for AR(p), see https://forum.bionicturtle.com/thre...-moving-average-ma-processes.23527/post-91654