Build a tgarch model with ged innovations

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Reference no: EM131224799

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?

Reference no: EM131224799

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