Build a tgarch model with ged innovations for the series, Financial Management

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Build a tgarch model with ged innovations for the series

Consider the monthly simple returns of General Electric (GE) stock from January 1926 to December 2003. You may download the data from CRSP or use the file m-ge2603.txt on the Web. Convert the returns into log returns in percentages.

Build a TGARCH model with GED innovations for the series using at-1 as the threshold variable with zero threshold, where at-1 is the shock at time t - 1.

Write down the fitted model. Is the leverage effect significant at the 5% level?

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Financial Management: Build a tgarch model with ged innovations for the series

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Financial Management: Build a tgarch model with ged innovations for the series

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