GJR and EGARCH Are Types of GARCH Models That Allow

question 19

Multiple Choice

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

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Definitions:

Exponential Notation

A way of writing numbers that accommodates values too large or small for ordinary notation, using a base number raised to a power.

Arithmetic Operations

Fundamental arithmetic processes including adding, subtracting, multiplying, and dividing.

Compound Interest

Interest calculation on a loan or deposit where the interest earned also earns interest, leading to exponential growth over time.

Nearest Cent

Rounding a monetary amount to the closest cent, often used to simplify cash transactions.