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Param	Value	t-stat
mwindow	36
αARCH	0.4587	4.18***
βGARCH	0.5856	10.95***
γleverage	-0.3782	-3.46***
λ₁tau intercept	0.3983	1.51
λ₂forecast adj.	0.2869	1.86*
λ₃tau persistence	0.6975	4.52***

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.4587	4.18***
β GARCH Volatility persistence	0.5856	10.95***
γ leverage Additional response to negative shocks	-0.3782	-3.46***
λ₁ tau intercept Baseline long-term coefficient	0.3983	1.51
λ₂ forecast adj. Forecast performance sensitivity	0.2869	1.86*
λ₃ tau persistence Long-term factor persistence	0.6975	4.52***

V-Lab

Jason Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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