{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2228	0.09
β GARCH Volatility persistence	0.6687	13.68***
γ leverage Additional response to negative shocks	-0.1737	-0.04
λ₁ tau intercept Baseline long-term coefficient	8.7858	0.11
λ₂ forecast adj. Forecast performance sensitivity	0.2088	0.11
λ₃ tau persistence Long-term factor persistence	0.7912	2.45**

V-Lab

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