Consider the following model for the mean of asset returns rt: rt=α+βzt−1+εt where zt−1 is a predictor of the returns. The model for the volatility is εt= √ ht ut ht=μ*+ϕ * 1 ε 2 t−1 +ϕ * 2 ε 2 t−2 +ϕ * 3 ε 2 t−3 𝔼t−1(ut)=0 𝔼t−1(u 2 t )=1 What is the conditional expected value of the returns 𝔼t−1(rt)? Choose the best answer below. 单项选择题

A

𝔼t−1(rt)=βzt−1

B

𝔼t−1(rt)=βrt−1+α

C

𝔼t−1(rt)=α+βzt−1

D

𝔼t−1(rt)= α 1−β

E

𝔼t−1(rt)=zt−1

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Consider the following model for the mean of asset returns rt: rt=α+βzt−1+εt where zt−1 is a predictor of the returns. The model for the volatility is εt= √ ht ut ht=μ*+ϕ * 1 ε 2 t−1 +ϕ * 2 ε 2 t−2 +ϕ * 3 ε 2 t−3 𝔼t−1(ut)=0 𝔼t−1(u 2 t )=1 What is the conditional expected value of the returns 𝔼t−1(rt)? Choose the best answer below.

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