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Assume That You Have Estimated a GJR Model of Monthly

Question 3

Multiple Choice

Assume that you have estimated a GJR model of monthly stock returns and you obtain the following equations: Assume that you have estimated a GJR model of monthly stock returns and you obtain the following equations: Suppose that , what would be the fitted conditional variance for time t if and then if ? A) 1.62 and 1.67, respectively B) 1.64 and 1.59, respectively C) 1.59 and 1.64, respectively D) 1.67 and 1.62, respectively Assume that you have estimated a GJR model of monthly stock returns and you obtain the following equations: Suppose that , what would be the fitted conditional variance for time t if and then if ? A) 1.62 and 1.67, respectively B) 1.64 and 1.59, respectively C) 1.59 and 1.64, respectively D) 1.67 and 1.62, respectively Suppose that , what would be the fitted conditional variance for time t if and then if ? Assume that you have estimated a GJR model of monthly stock returns and you obtain the following equations: Suppose that , what would be the fitted conditional variance for time t if and then if ? A) 1.62 and 1.67, respectively B) 1.64 and 1.59, respectively C) 1.59 and 1.64, respectively D) 1.67 and 1.62, respectively Assume that you have estimated a GJR model of monthly stock returns and you obtain the following equations: Suppose that , what would be the fitted conditional variance for time t if and then if ? A) 1.62 and 1.67, respectively B) 1.64 and 1.59, respectively C) 1.59 and 1.64, respectively D) 1.67 and 1.62, respectively Assume that you have estimated a GJR model of monthly stock returns and you obtain the following equations: Suppose that , what would be the fitted conditional variance for time t if and then if ? A) 1.62 and 1.67, respectively B) 1.64 and 1.59, respectively C) 1.59 and 1.64, respectively D) 1.67 and 1.62, respectively


A) 1.62 and 1.67, respectively
B) 1.64 and 1.59, respectively
C) 1.59 and 1.64, respectively
D) 1.67 and 1.62, respectively

Correct Answer:

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