- The Volatility Of The Weekly Aud Gbp Exchange Rate Denoted By Zt A A P Az A A Az 8 0 0 1 1 4 0 V 1 (87.33 KiB) Viewed 46 times
volatility of the weekly AUD/GBP exchange rate (denoted by
zt):increment z subscript t equals a subscript 0 plus a subscript 1
increment z subscript t minus 1 end subscript plus midline
horizontal ellipsis plus a subscript p increment z subscript t
minus p end subscript plus epsilon subscript t plus theta subscript
1 epsilon subscript t minus 1 end subscript plus midline horizontal
ellipsis plus theta subscript q epsilon subscript t minus q end
subscript comma
epsilon subscript t equals nu subscript t square root of h
subscript t end root comma
h subscript t equals alpha subscript 0 plus alpha subscript 1
epsilon subscript t minus 1 end subscript superscript 2 plus
midline horizontal ellipsis plus alpha subscript r epsilon
subscript t minus r end subscript superscript 2 plus lambda delta
subscript t minus 1 end subscript epsilon subscript t minus 1 end
subscript superscript 2 plus beta subscript 1 h subscript t minus 1
end subscript plus midline horizontal ellipsis plus beta subscript
s h subscript t minus s end subscript.
In this model, delta subscript t equals 1 if epsilon subscript t
less than 0 and delta subscript t equals 0 otherwise. Using
statistical software, you fit the model to the data and obtain the
following results. A residuals analysis for each specification in
Table 1 did not detect substantial evidence of
autocorrelation.Table 1: Estimated Information Criteria for
Alternative Specifications
p q r s λ AIC BIC
1 0 0 0 0 -2819.5 -2805.9
1 1 0 0 0 -2817.9 -2799.7
0 0 1 0 0 -2930.5 -2916.9
1 1 1 1 0 -2970.8 -2943.6
1 0 1 1 unrestricted -2975.1 -2947.8
1 1 1 1 unrestricted -2973.6 -2941.8
Subsequently, one of the specifications you estimated produced
the following results (t-statistics in parentheses):increment z
subscript t equals stack 0.0002 with left parenthesis 0.22 right
parenthesis below minus stack 0.0228 with left parenthesis negative
0.52 right parenthesis below cross times increment z subscript t
minus 1 end subscript plus epsilon subscript t comma
h subscript t equals stack 0.0001 with left parenthesis 3.97 right
parenthesis below plus stack 0.1027 with left parenthesis 3.10
right parenthesis below cross times epsilon subscript t minus 1 end
subscript superscript 2 plus stack 0.1230 with left parenthesis
3.33 right parenthesis below cross times delta subscript t minus 1
end subscript epsilon subscript t minus 1 end subscript superscript
2 plus stack 0.7375 with left parenthesis 15.45 right parenthesis
below cross times h subscript t minus 1 end subscript.
Please use the above information only to answer the following
questions.What is the most appropriate name for the specification
estimated in (1)-(2)?
the volatility of the weekly AUD/GBP exchange rate (denoted by Zt): +...+a A²₁-p Az₁=a+a₁ Az, + 8 +0 0 1-1 4₁=0,₁√√₁. =V h₁=α₁ +α₁²_₁1 a + ... + a ·α_ε²_₁ + à₁‚_₁ε²_₁ + B₂h₁_1] ri-r 1-1 I 1 In this model, 6 = 1 if & <0 and 8 = 0 otherwise. Using statistical software, you fit the model to the data and obtain the following results. A residuals analysis for each specification in Table 1 did not detect substantial evidence of autocorrelation. Table 1: Estimated Information Criteria for Alternative Specifications pqrs λ AIC BIC 11101010 0 -2819.5-2805.9 11 1010 0 -2817.9-2799.7 0010 0 -2930.5-2916.9 1 1 0 -2970.8-2943.6 1011 unrestricted -2975.1-2947.8 unrestricted-2973.6-2941.8 Subsequently, one of the specifications you estimated produced the following results (t-statistics in parentheses): Az =0.0002-0.0228 x Az +8 "I (0.22) (-0.52) "1-1 h=0.0001 +0.1027 x ² €²₁+0.1230×8₁_₁²_+0.7375xh-1 t (3.97) (3.10) (3.33) (15.45) + +0 € ₁ + ··· + B₂h₁_5² ...
produced the following results (t-statistics in parentheses): Az,=0.0002-0.0228 X AZ₁_1 + 8 (0.22) (-0.52) h₁=0.0001 +0.1027ײ₁ +0.1230×6₁_₁²_+0.7375xh 1-1 1-1' (3.97) (3.10) (3.33) (15.45) Please use the above information only to answer the following questions. What is the most appropriate name for the specification estimated in (1)-(2)? a. ARMA(1, 1) with homoscedastic errors. b. AR(1) with TGARCH(1, 1) errors. AR(1) with EGARCH(1, 1) errors. None of the above. d.