Question 5 Not yet answered Marked out of 1.00 Open in EViews 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 portfolio (log returns already provided) using a dynamic GARCH in errors model, with size, value, and market as your explanatory variables and to identify if the expected value of portfolio ( when all explanatory variables and its lagged value are equal to zero) is different in the period between January 2001 and December 2002 with respect to the rest of the sample period. You conclude that Hint: you need to generate a dummy to capture this difference in the intercept (use the dummy support slides posted in this section) & P Flag question Fin Tin Select one: O a. There is indeed a significant variation in the intercept in the subperiod of interest. Such variation is significant at 5% level only and it implies that the intercept is 0.012218 smaller O b. There is no significant variation in the intercept in the subperiod of interest. Suggesting that the value of the intercept is constant over time c. There is indeed a significant variation in the intercept in the subperiod of interest, but it is significant only at 10% level and while it implies that in the subperiod the intercept is 0.012218 bigger we should be cautious in using this result given the low level of significance d. There is indeed a significant variation in the intercept in the subperiod of interest. Such variation is significant at 1% level and it implies that the intercept is 0.012218 smaller e. There is indeed a significant variation in the intercept in the subperiod of interest. Such variation is significant at 1% level and it implies that in the subperiod the intercept is 0.012218 bigger