GJR and EGARCH are types of GARCH models that allow for:
A) An asymmetric response of returns to positive and negative shocks in the dependent variable
B) An asymmetric response of returns to positive and negative shocks to its lagged values
C) A symmetric response of volatility to positive and negative shocks
D) An asymmetric response of volatility to positive and negative shocks

Question

Quizplus · Accepted Answer

GJR and EGARCH models are designed to capture the asymmetric response of volatility to positive and negative shocks, unlike the basic GARCH model which assumes a symmetric response. This means they can model the phenomenon where, for example, negative news impacts market volatility differently than positive news.

GJR and EGARCH Are Types of GARCH Models That Allow