Consider the following conditional variance equation for a GJR model. h_t = $\alpha$₀ + $\alpha$₁+$\beta$h_t_-1+$\gamma$u_t_-1²I_t_-1 where I_t_-1 = 1 if u_t_-1

Question

Consider the following conditional variance equation for a GJR model. h_t = $\alpha$₀ + $\alpha$₁+$\beta$h_t_-1+$\gamma$u_t_-1²I_t_-1 where I_t_-1 = 1 if u_t_-1 < 0 = 0 otherwise For there to be evidence of a leverage effect, which one of the following conditions must hold? A) $\alpha$₀ positive and statistically significant B) $\gamma$ positive and statistically significant C) $\gamma$ statistically significantly greater than $\alpha$₀ D) $\alpha$₁+$\beta$ statistically significantly less than $\gamma$

Quizplus · Accepted Answer

The Answer of Consider the following conditional variance equation for a GJR model. h_t = $\alpha$₀ + $\alpha$₁+$\beta$h_t_-1+$\gamma$u_t_-1²I_t_-1 where I_t_-1 = 1 if u_t_-1 < 0 = 0 otherwise For there to be evidence of a leverage effect, which one of the following conditions must hold? A) $\alpha$₀ positive and statistically significant B) $\gamma$ positive and statistically significant C) $\gamma$ statistically significantly greater than $\alpha$₀ D) $\alpha$₁+$\beta$ statistically significantly less than $\gamma$

Consider the Following Conditional Variance Equation for a GJR Model α\alphaα

Consider the Following Conditional Variance Equation for a GJR Model $\alpha$