... kurtosis of yst and yrt are given by 3 exp{Var[ln σ2st]} and 3 exp{Var[ln σ2rt]} which are greater than 3,so that both yst and yrtexhibit excess kurtosis and thus fatter tails than st and ... ut and vt are assumed to be IIN(0,1).Sincest and ηst are random shocks tothe return and volatility of a specific stock and more importantly both are subject to7the same information set, it ... λ2= 0,λ3= 0, i.e. st and ηst, st and ηst are correlated with eachother, ln σ2st+1 and ln σ2rt+1conditional on time t are explicitly dependent of st and rtrespectively. In...