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{name} Model Equation

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Param	Value	t-stat
mwindow	66
αARCH	0.1389	3.71***
βGARCH	0.6366	9.42***
γleverage	0.0266	0.48
λ₁tau intercept	1.5296	1.94*
λ₂forecast adj.	0.6595	4.31***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.1389	3.71***
β GARCH Volatility persistence	0.6366	9.42***
γ leverage Additional response to negative shocks	0.0266	0.48
λ₁ tau intercept Baseline long-term coefficient	1.5296	1.94*
λ₂ forecast adj. Forecast performance sensitivity	0.6595	4.31***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Planetel Spa MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Planetel Spa Analyses