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Question 17 The estimated GARCH volatility model parameters and t-statistics are given below. What does parameter alpha indicate? Parameter Estimates param t-stat 0.0000255 14.10 0.053 27.12 0.940 505.68 alpha shows the effect of previous day volatility on current volatility forecast. It is not statistically significant as the t-stat is below the 95% critical value. alpha shows the effect of previous day volatility on current volatility forecast. It is statistically significant asathe t-stat is above the 95% critical value. alpha shows the effect of previous day return on current volatility forecast. It is not statistically significant as the t-stat is below the 95% critical value.

Question 17 The estimated GARCH volatility model parameters and t-statistics are given below. What does parameter alpha indicate? Parameter Estimates param t-stat 0.0000255 14.10 0.053 27.12 0.940 505.68 alpha shows the effect of previous day volatility on current volatility forecast. It is not statistically significant as the t-stat is below the 95% critical value. alpha shows the effect of previous day volatility on current volatility forecast. It is statistically significant asathe t-stat is above the 95% critical value. alpha shows the effect of previous day return on current volatility forecast. It is not statistically significant as the t-stat is below the 95% critical value.

Linear Algebra: A Modern Introduction
Linear Algebra: A Modern Introduction
4th Edition
ISBN:9781285463247
Author:David Poole
Publisher:David Poole
Chapter4: Eigenvalues And Eigenvectors
Section4.6: Applications And The Perron-frobenius Theorem
Problem 25EQ
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Question 17 The estimated GARCH volatility model parameters and t-statistics are given below. What does parameter alpha indicate? Parameter Estimates t-stat param 0.0000255 14.10 0.053 27.12 B 0.940 505.68 alpha shows the effect of previous day volatility on current volatility forecast. It is not statistically significant as the t-stat is below the 95% critical value. O alpha shows the effect of previous day volatility on current volatility forecast. It is statistically significant asathe t-stat is above the 95% critical value. alpha shows the effect of previous day return on current volatility forecast. It is not statistically significant as the t-stat is below the 95% critical value. alpha shows the effect of previous day return on current volatility forecast. It is statistically significant as the t-stat is above the 95% critical value.
Transcribed Image Text:Question 17 The estimated GARCH volatility model parameters and t-statistics are given below. What does parameter alpha indicate? Parameter Estimates t-stat param 0.0000255 14.10 0.053 27.12 B 0.940 505.68 alpha shows the effect of previous day volatility on current volatility forecast. It is not statistically significant as the t-stat is below the 95% critical value. O alpha shows the effect of previous day volatility on current volatility forecast. It is statistically significant asathe t-stat is above the 95% critical value. alpha shows the effect of previous day return on current volatility forecast. It is not statistically significant as the t-stat is below the 95% critical value. alpha shows the effect of previous day return on current volatility forecast. It is statistically significant as the t-stat is above the 95% critical value.
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