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Param	Value	t-stat
mwindow	36
αARCH	0.4592	4.19***
βGARCH	0.5858	10.97***
γleverage	-0.3784	-3.47***
λ₁tau intercept	0.3894	1.52
λ₂forecast adj.	0.2867	1.87*
λ₃tau persistence	0.6989	4.59***

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.4592	4.19***
β GARCH Volatility persistence	0.5858	10.97***
γ leverage Additional response to negative shocks	-0.3784	-3.47***
λ₁ tau intercept Baseline long-term coefficient	0.3894	1.52
λ₂ forecast adj. Forecast performance sensitivity	0.2867	1.87*
λ₃ tau persistence Long-term factor persistence	0.6989	4.59***

V-Lab

Jason Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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