Question 1.4 Consider the Cornish-Fisher approximation for the inverse CDF function in correspondence to a critical value p, CF, 1: OF, 1 =071 [(0, 3)2 - 1] +$2 [(03)3 -30,'] -[2(0,3)3 -50,'], where (, indicates the sample skewness coefficient, (2 is the sample excess kurtosis, and &l is the inverse Gaussian CDF in correspondence to a critical value p. With reference to a time series of S&P 500 returns for which at time f the forecast of time t + 1 volatility is of+1 = 2.35%, skewness is -0.68, and the time f the forecast of time t + 1 mean is /4+1 = 0.13%, a colleague of yours has stated the she has just computed a Cornish-Fisher 1% VaR of 9.14%. However, your colleague has forgotten to state what the kurtosis of S&P 500 returns is in her data. Note that Pod, = -2.326. Please indicate which of the following statements is/are correct. (A) The Cornish-Fisher 1% VaR estimate as well as the information provided on the properties of S&P 500 returns imply that their excess kurtosis is approximately -3.336. (B) The Cornish-Fisher 1% VaR estimate as well as the information provided on the properties of S&P 500 returns imply that their kurtosis is approximately 5.526. (C) The Cornish-Fisher 1% VaR estimate as well as the information provided on the properties of S&P 500 returns imply that their excess kurtosis is approximately 8.526. (D) The Cornish-Fisher 1% VaR estimate as well as the information provided on the properties of S&P 500 returns imply that their kurtosis is approximately 1.336. (E) None of the above.Question 1.3 A researcher is using a Gaussian GARCH(1,1) model to forecast the variance of stock returns: Rit1 = 0+16+1 +1 IID N(0, 1) 071 = w+ aRi+ Boy. Indicate which of the following is/are correct? (A) Because under a GARCH(1,1) model the forecast of variance changes over time, then the dis- tribution of stock returns will be non-stationary. (B) In spite of the fact that under a GARCH(1,1) model the forecast of variance changes over time, the distribution for stock returns may still be stationary if the condition o + 8