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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.4682	2.97***
α ARCH Response to squared shocks	0.2074	5.38***
β GARCH Volatility persistence	0.7539	21.06***

γ₁	0.3245	0.94
γ₂	-0.5893	-0.88
γ₃	0.6327	0.83
γ₄	0.0992	0.15
γ₅	-1.6126	-2.64***
γ₆	2.2538	3.52***
γ₇	-2.1692	-3.70***
γ₈	1.6171	2.81***
γ₉	-0.4377	-0.68
γ₁₀	-0.2451	-0.52

V-Lab

MERF Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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