I did part A I just don't know how to explain in part B. Go to VLAB ( http://vlab.stern.edu/ ) and A.

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.