GJR and EGARCH Are Types of GARCH Models That Allow

Multiple Choice

GJR and EGARCH are types of GARCH models that allow for:

A) An asymmetric response of returns to positive and negative shocks in the dependent variable
B) An asymmetric response of returns to positive and negative shocks to its lagged values
C) A symmetric response of volatility to positive and negative shocks
D) An asymmetric response of volatility to positive and negative shocks