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Can someone help T/F [a] From the ARCH model in {1), let's now assume r; = met, at N nd 11 [5} where t[5} indicates

Can someone help T/F

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[a] From the ARCH model in {1), let's now assume r; = met, at N nd 11 [5} where t[5} indicates the tdistrihution with the degrees of freedom 5. This ARCH model with the t distrihuted innovation, we can generate the asymmetric responses of n to the positive and negative shocks of en, so is more popular than the model in (1} in practioe. True False 1FWhy? [h] The single index model in [2] has been extended to include a. few more factors recently. These additional factors in the multifactor models are designed to capture the idiosyncratic risks from Em while the marketwide risk is still solely captured by RM; True False Why? {c} Assume X m Bernoulli (HEEL and Y N Nf. 1] hence E(X} = E[Y] = lff'or any given random variable 3 that is statistically indend-t of X and Y, E [EEC - YH % I] became X #3 r. True False 'Why

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