BU.232.630.W6.SP25 sample_quiz_3

Consider the following model for the mean of asset returns 𝑟 𝑡 : 𝑟 𝑡 = 𝛼 + 𝛽 𝑧 𝑡 − 1 + 𝜀 𝑡 where 𝑧 𝑡 − 1 is a predictor of the returns. The model for the volatility is 𝜀 𝑡 = ℎ 𝑡 �...