Consider the following MA(1) – TGARCH-in-Mean model for equity returns.r; = 0.5 + 0.2o? + 0.3u±-1 + Utof = 0.8 + 0.2u? 1+0.7o²1 + 0.4u?-1k-1Given that you observe u;-1 = 0.5 and OL1 = 0.4, the optimal forecast of theequity return for time t (i.e. for r¿ ) is:Select one:a. 0.8424O b. 0.9620O c. 1.0620O d. None of these.e. 0.8624

The given model: The given values: Then,

Consider the following MA(1) – TGARCH-in-Mean model for equity returns. re = 0.5 + 0.2o + 0.3u±-1 + Ult = 0.8 + 0.2u?-1 + 0.7o²1+ 0.4u²-11t-1 Given that you observe ut-1 = 0.5 and O1-1 = 0.4, the optimal forecast of the equity return for time t (i.e. for r; ) is:

Consider the following MA(1) – TGARCH-in-Mean model for equity returns. re = 0.5 + 0.2o + 0.3u±-1 + Ult = 0.8 + 0.2u?-1 + 0.7o²1+ 0.4u²-11t-1 Given that you observe ut-1 = 0.5 and O1-1 = 0.4, the optimal forecast of the equity return for time t (i.e. for r; ) is:

Advanced Engineering Mathematics

10th Edition

ISBN:9780470458365

Author:Erwin Kreyszig

Publisher:Erwin Kreyszig

Chapter2: Second-order Linear Odes

Section: Chapter Questions

Problem 1RQ

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