1. Run a regression of daily squared returns on the variance forecast from the GARCH model with a leverage term from Chapter 4. Include a constant term in the regression R2t C1 D b0 Cb12t C1 CetC1

(Excel hint: Use the function LINEST.) What is the fit of the regression as measured by the R2? Is the constant term significantly different from zero? Is the coefficient on the forecast significantly different from one?