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Problem 3 Using monthly JKSE index returns (r), the following results are obtained for the conditional variance: of = = 1.068 +0.58207- +0.128u-1 + 0.151u-1lt-1

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Problem 3 Using monthly JKSE index returns (r), the following results are obtained for the conditional variance: of = = 1.068 +0.58207- +0.128u-1 + 0.151u-1lt-1 (t) = (2.51) (2.21) (10.19) (5.09) where: It-1 = {1 if u-1

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