Build a gjr model for the log return series write down the, Financial Management

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Build a gjr model for the log return series write down the

Consider the daily simple returns of Johnson and Johnson stock from January 1990 to December 2003. The data are in the file d-jnj9003.txt or can be obtained from CRSP. Convert the returns into log returns in percentage.

(a) Build a GJR model for the log return series. Write down the fitted model. Is the leverage effect significant at the 1% level?

(b) Build a general threshold volatility model for the log return series.

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