Consider the following MA(1) - GARCH (1,1) model for equity returns.rt = 0.5 +0.3ut-1 + Utof = 0.8 +0.2u-1 + 0.707-1Let t-1 denote the information (data) known at time t-1. The definition or meaning ofthe term of is:Select one:O a. the variance of rtb. the variance of u conditional on 2 t-1c. the variance of utd. the variance of rt conditional on 2 +-1e. the variance of rt conditional on 2t-1 and the variance of ut conditional on 2t-1 as both are equal to each other

In this context:"t" represents the time period."rt" represents the equity return at time "t.""tit"…

Consider the following MA(1) - GARCH(1,1) model for equity returns. t = 0.5 +0.3u-1 + Ut of = 0.8 +0.2u-1 +0.707-1 Let 2-1 denote the information (data) known at time t-1. The definition or meaning of the term of is: Select one: O a. the variance of rt O O b. the variance of ut conditional on 2 t-1 c. the variance of ut d. the variance of rt conditional on 2 t-1 e. the variance of rt conditional on 2t-1 and the variance of u conditional on 2t-1 as both are equal to each other

Consider the following MA(1) - GARCH(1,1) model for equity returns. t = 0.5 +0.3u-1 + Ut of = 0.8 +0.2u-1 +0.707-1 Let 2-1 denote the information (data) known at time t-1. The definition or meaning of the term of is: Select one: O a. the variance of rt O O b. the variance of ut conditional on 2 t-1 c. the variance of ut d. the variance of rt conditional on 2 t-1 e. the variance of rt conditional on 2t-1 and the variance of u conditional on 2t-1 as both are equal to each other

Microeconomic Theory

12th Edition

ISBN:9781337517942

Author:NICHOLSON

Publisher:NICHOLSON

Chapter7: Uncertainty

Section: Chapter Questions

Problem 7.7P

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