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Please assist with Q6-Q8 (multiple choice) financial econometrics as per below Question 6 The following is the GJR extension of a GARCH model for equity
Please assist with Q6-Q8 (multiple choice) financial econometrics as per below
Question 6 The following is the GJR extension of a GARCH model for equity returns: r = 8+u o =2, +aut? +Boy+yu 1.1 where 14 =1 if 4,1 0 (e) 04 a>0 70 Question 8 Consider the following bivariate VAR(2): Y = 410 +11.11-1+12V1r-2 +213121-1 +14721-2 +u, Y2 = 220 +21 7-1 +222 1-2 +22372-1 +2249212 +421 When Yi does not Granger-cause 12 but Y2 does Granger-cause y, it is the case that: (a) (b) (c) (d) (e) 021 and Qy not significant; 13 and 14 significant 021 and 2 significant; ans and a not significant 22 and 22 significant; a, and Q3 not significant 02 and any not significant; ay, and a significant None of the above Question 6 The following is the GJR extension of a GARCH model for equity returns: r = 8+u o =2, +aut? +Boy+yu 1.1 where 14 =1 if 4,1 0 (e) 04 a>0 70 Question 8 Consider the following bivariate VAR(2): Y = 410 +11.11-1+12V1r-2 +213121-1 +14721-2 +u, Y2 = 220 +21 7-1 +222 1-2 +22372-1 +2249212 +421 When Yi does not Granger-cause 12 but Y2 does Granger-cause y, it is the case that: (a) (b) (c) (d) (e) 021 and Qy not significant; 13 and 14 significant 021 and 2 significant; ans and a not significant 22 and 22 significant; a, and Q3 not significant 02 and any not significant; ay, and a significant None of the aboveStep by Step Solution
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