tudi 20 mins) Question 6 Erb, Harvey and Viskanta (1995) investigated the relationship between stock return volatility in countries and the credit rating for those countries. They collected data from forty countries and ran a simple regression model with stock return volatility as the dependent variable. The tables in Appendix 2 give the output. Use the output to answer the following: (a) Write down their regression model and define the terms used in the model. (5 marks) (b) Write down the null and alternative hypothesis. (5 marks) QUESTION CONTINUED OVERLEAF (c) Explain what the intercept and slope parameter estimates are in a regression model. (5 marks) (d) Explain what a t' statistic is and explain how the t value of 9.43 shown above was calculated. (10 marks) (Total 25 marks) SUMMARY OUTPUT Regression Statistics Multiple R 0.578 R Square 0.334 Adjusted R Square 0.317 Standard Error 12.677 Observations 40 ANOVA df F Significance F 0.000 1 MS 3064.4 160.7 Regression Residual Total 19.07 SS 3064.4 6107.5 9171.9 38 39 Upper 95% Standard Error 6.128 0.092 Coefficients 57.755 -0.3996 P-value 0.000 0.000 Intercept Credit rating t Stat 9.43 -4.37 Lower 95% 44.273 -0.602 71.237 -0.1972