Assume that you have estimated a GJR model of monthly stock returns and you obtain the following equations: Suppose that , what would be the fitted conditional variance for time t if and then if ?
A) 1.62 and 1.67, respectively
B) 1.64 and 1.59, respectively
C) 1.59 and 1.64, respectively
D) 1.67 and 1.62, respectively

Question

Assume that you have estimated a GJR model of monthly stock returns and you obtain the following equations:   Suppose that , what would be the fitted conditional variance for time t if and then if ?   
A) 1.62 and 1.67, respectively 
B) 1.64 and 1.59, respectively 
C) 1.59 and 1.64, respectively 
D) 1.67 and 1.62, respectively

Quizplus · Accepted Answer

The Answer of Assume that you have estimated a GJR model of monthly stock returns and you obtain the following equations:   Suppose that , what would be the fitted conditional variance for time t if and then if ?   
A) 1.62 and 1.67, respectively 
B) 1.64 and 1.59, respectively 
C) 1.59 and 1.64, respectively 
D) 1.67 and 1.62, respectively

Assume That You Have Estimated a GJR Model of Monthly