{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.1369	5.98***
β GARCH Volatility persistence	0.8511	380.99***
γ leverage Additional response to negative shocks	-0.1358	-3.51***
λ₁ tau intercept Baseline long-term coefficient	0.0028	18.74***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9994	1,015.62***

V-Lab

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