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Param	Value	t-stat
ωconst	1.4020	5.48***
αARCH	0.1199	7.69***
βGARCH	0.7955	30.96***

γ₁	-0.0495	-1.58
γ₂	0.1308	2.96***
γ₃	-0.1447	-5.33***
γ₄	0.0851	3.55***
γ₅	-0.0306	-1.35
γ₆	0.0136	0.56
γ₇	-0.0047	-0.21
γ₈	0.0041	0.25

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4020	5.48***
α ARCH Response to squared shocks	0.1199	7.69***
β GARCH Volatility persistence	0.7955	30.96***

γ₁	-0.0495	-1.58
γ₂	0.1308	2.96***
γ₃	-0.1447	-5.33***
γ₄	0.0851	3.55***
γ₅	-0.0306	-1.35
γ₆	0.0136	0.56
γ₇	-0.0047	-0.21
γ₈	0.0041	0.25

V-Lab

COMSYS Holdings Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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