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Param	Value	t-stat
ωconst	2.4670	2.97***
αARCH	0.1991	5.31***
βGARCH	0.7647	21.79***

γ₁	0.3176	0.92
γ₂	-0.5762	-0.88
γ₃	0.6395	0.86
γ₄	0.0423	0.06
γ₅	-1.5218	-2.52**
γ₆	2.1831	3.42***
γ₇	-2.1568	-3.71***
γ₈	1.6682	2.89***
γ₉	-0.4923	-0.74
γ₁₀	-0.2379	-0.47

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.4670	2.97***
α ARCH Response to squared shocks	0.1991	5.31***
β GARCH Volatility persistence	0.7647	21.79***

γ₁	0.3176	0.92
γ₂	-0.5762	-0.88
γ₃	0.6395	0.86
γ₄	0.0423	0.06
γ₅	-1.5218	-2.52**
γ₆	2.1831	3.42***
γ₇	-2.1568	-3.71***
γ₈	1.6682	2.89***
γ₉	-0.4923	-0.74
γ₁₀	-0.2379	-0.47

V-Lab

MERF Inc Zero Slope Spline-GARCH Volatility Analysis

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