Build a gjr model for the log return series

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Reference no: EM131224787

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.

Reference no: EM131224787

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