Use GMM to estimate CCAPM and GARCH. Please answer the three questions attached.

J CCAPM GIVIM (2018, 2016, 2014) 4. The Consumption-CAPM with exponential utility implies the following unconditional Euler equation E [e-7(C'+l-C)R;t+l] = 0 Vi, where C; denotes consumption at time t = 1, ...,T + 1, 'y is the absolute risk aversion parameter and Rim denotes the excess return of asset i. Assume that CH1 C: and R5,: +1 follow stationary processes. (a) Explain how, given a time series of consumption and a time series of excess returns for N > 1 assets, one can estimate 1. (b) How would you test whether the above model is consistent with the data? . The Consumption-CAPM with log utility implies the following unconditional moment condition EK 0' )Rfm] =a, Vi=1,...,N, CH-l ' where C; denotes consumption at time t = 1, ...,T, Ra] denotes the enemas return of asset i, and under the null of the model being true a = 0. Using the GMM approach, construct a x2 tent of the null o: = 0. 5. The Consumption-CAPM with CRRA preferences implies the following unconditional Euler equation E [(Cg'yqnsm] = 0 w, where 0; denotes consumption at time t = II ...,T, 7 is the relative risk aversion para.- meter and Rf,it +1 denotes the excess return of asset i. (3) Explain how, given a time series of consumption and a time serim of excess returns for N > 1 assets, one can estimate 7 without assuming a joint distribution for consumption and asset returns. (b) How would you test whether the above model is consistent with the data? [I-Iint: is the above model over-identied?]