Question: You have data for the return on a weighted portfolio of all the stocks in the market. The retum series is denoted MKT and the

You have data for the return on a weighted portfolio of

You have data for the return on a weighted portfolio of all the stocks in the market. The retum series is denoted MKT and the sample is daily from 3 January 2010 to 29 December 2017. The total number of daily observations is 2,013 . You decide to estimate the mean equation as an MA(1) and the variance equation as in the GJR model. Specifically, you estimate the following model: MKTt=c+ut+ut1t2=0+1ut=12+t12+ut=12It=1 where It1=1 if ut1

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