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

question 2

Multiple Choice

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

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

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