Hello again,

I have estimated a garch model with following specification:

r[t] = mu + k * sigma[t] + epsilon[t]

sigma[t] ~ garch(1,1)

However I see that estimate of k is positive but insignificant.

My question what does it mean? Does it mean that, for that asset people are
not risk adverse? they do not demand higher return for higher risk?

Or it just some noise?

I am using daily log-return for 10 years.

Thanks for your help.

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