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Param	Value	t-stat
mwindow	96
αARCH	0.2176	6.14***
βGARCH	0.8289	33.50***
γleverage	-0.0935	-2.21**
λ₁tau intercept	2.6756	2.32**
λ₂forecast adj.	0.0176	1.10
λ₃tau persistence	0.9765	46.64***

Parameter	Value	t-statistic
m window Rolling window length	96
α ARCH Response to squared shocks	0.2176	6.14***
β GARCH Volatility persistence	0.8289	33.50***
γ leverage Additional response to negative shocks	-0.0935	-2.21**
λ₁ tau intercept Baseline long-term coefficient	2.6756	2.32**
λ₂ forecast adj. Forecast performance sensitivity	0.0176	1.10
λ₃ tau persistence Long-term factor persistence	0.9765	46.64***

V-Lab

MERF Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MERF Inc Analyses