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Param	Value	t-stat
mwindow	66
αARCH	0.1766	6.18***
βGARCH	0.6620	18.31***
γleverage	0.0149	0.36
λ₁tau intercept	0.0400	1.01
λ₂forecast adj.	0.0284	1.49
λ₃tau persistence	0.9678	43.99***

Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.1766	6.18***
β GARCH Volatility persistence	0.6620	18.31***
γ leverage Additional response to negative shocks	0.0149	0.36
λ₁ tau intercept Baseline long-term coefficient	0.0400	1.01
λ₂ forecast adj. Forecast performance sensitivity	0.0284	1.49
λ₃ tau persistence Long-term factor persistence	0.9678	43.99***

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Yamada Consulting Group Co MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Yamada Consulting Group Co Analyses