Open in reviews the CW2 data 2 excel file. This is a data set we have been using previously. Your aim is to estimate a model to explain the average or expected value of the portfolio ( log returns already provided ) using a dynamic GARCH in errors model, with size, value, and the market as your explanatory variables and to identify if the elasticity of portfolio to market different in the period between January 2000 and December 2005 included with respect to the rest of the sample period. You conclude that

Hint: you need to generate a dummy to capture this difference ( use the dummy support slides posted in this section)

Select one:

a. The elasticity of portfolio to market is significantly different in the subperiod of interest and it is negative, implying that in the subperiod of interest the elasticity is increased by 0.01267

b. The elasticity of portfolio to market is significantly different in the subperiod of interest at the 5% significance level

c. The elasticity of portfolio to market is not significantly different in the subperiod of interest since the p-value of the dummy of interest is 0.5631

d. This effect cannot be identified since the inclusion of the summy generates perfect collinearity

e. The elasticity of portfolio to market is significantly different in the subperiod of interest and it is negative, implying that in the subperiod of interest the elasticity is reduced by 0.0908