Q7) (10 points) We employ a GARCH(1,1) model to help forecast market volatility. 02= 1+ 2 (Xt-1 - X )2 + 3024-1+ e Using monthly data we compute the following regression ouput: GARCH Regression Statistics Index Vol R? 0.9011 Intercept 0.0000669 Slope Return 0.0617625 Slope Vol 0.9060668 F Test 57 SSE 0.00040 Obs 240 Using this GARCH model, estimate the annual volatility and derive the percentage 5% VAR for the market if its expected return is 8%. Q7) (10 points) We employ a GARCH(1,1) model to help forecast market volatility. 02= 1+ 2 (Xt-1 - X )2 + 3024-1+ e Using monthly data we compute the following regression ouput: GARCH Regression Statistics Index Vol R? 0.9011 Intercept 0.0000669 Slope Return 0.0617625 Slope Vol 0.9060668 F Test 57 SSE 0.00040 Obs 240 Using this GARCH model, estimate the annual volatility and derive the percentage 5% VAR for the market if its expected return is 8%