I Did Part A I Just Don T Know How To Explain In Part B Go To Vlab Http Vlab Ste

I did part A I just don’t know how to explain in part B.

Go to VLAB (http://vlab.stern.nyu.edu/) and

A. find the volatility forecasts one day and one year ahead for the following assets using the GJR-GARCH model (this is the same as TARCH):

a) S&P500

1 Day= 7.63% 1 Year= 14.50%

b) Budapest Stock Exchange Index

1 Day= 15.86% 1 Year= 24.53%

c) Barclays Aggregate Government Bond Index

1 Day= 2.85% 1 Year= 3.47%

d) Coca Cola

1 Day= 32.00% 1 Year= 32.74%

e) MBIA

1 Day= 65.56% 1 Year= 69.99%

f) Euro Exchange rate

1 Day= 8.01% 1 Year= 8.87%

g) Cohen and Steers Realty Majors Index

1 Day= 22.89% 1 Year= 30.47%

B. Describe why these numbers are consistent with the information based description of asset volatility for each of the assets.