Consider the monthly simple returns of General Electric (GE) stock from January 1926 to December 2003. You may download the data from CRSP or use the file m-ge2603.txt on the Web. Convert the returns into log returns in percentages.
Build a TGARCH model with GED innovations for the series using at-1 as the threshold variable with zero threshold, where at-1 is the shock at time t - 1.
Write down the fitted model. Is the leverage effect significant at the 5% level?