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{name} Model Equation

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Param	Value	t-stat
mwindow	96
αARCH	0.1714	4.06***
βGARCH	0.5291	8.25***
γleverage	0.0690	1.04
λ₁tau intercept	0.7953	0.70
λ₂forecast adj.	0.2432	0.85
λ₃tau persistence	0.6558	1.60

Parameter	Value	t-statistic
m window Rolling window length	96
α ARCH Response to squared shocks	0.1714	4.06***
β GARCH Volatility persistence	0.5291	8.25***
γ leverage Additional response to negative shocks	0.0690	1.04
λ₁ tau intercept Baseline long-term coefficient	0.7953	0.70
λ₂ forecast adj. Forecast performance sensitivity	0.2432	0.85
λ₃ tau persistence Long-term factor persistence	0.6558	1.60

V-Lab

NCD Co Ltd/Shinagawa MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NCD Co Ltd/Shinagawa Analyses