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Param	Value	t-stat
ωconst	1.9896	1.79*
αARCH	0.2418	5.73***
βGARCH	0.7095	16.62***

γ₁	-0.3688	-0.98
γ₂	0.9697	1.86*
γ₃	-1.3330	-3.12***
γ₄	1.3755	3.56***
γ₅	-1.2249	-4.74***
γ₆	1.1999	5.07***
γ₇	-1.1134	-4.55***
γ₈	0.8320	2.18**
γ₉	-0.6438	-1.07
γ₁₀	0.4767	0.91

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9896	1.79*
α ARCH Response to squared shocks	0.2418	5.73***
β GARCH Volatility persistence	0.7095	16.62***

γ₁	-0.3688	-0.98
γ₂	0.9697	1.86*
γ₃	-1.3330	-3.12***
γ₄	1.3755	3.56***
γ₅	-1.2249	-4.74***
γ₆	1.1999	5.07***
γ₇	-1.1134	-4.55***
γ₈	0.8320	2.18**
γ₉	-0.6438	-1.07
γ₁₀	0.4767	0.91

V-Lab

Jason Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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