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{name} Model Equation

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Param	Value	t-stat
mwindow	26
αARCH	0.0755	4.23***
βGARCH	0.7307	18.69***
γleverage	0.0656	2.56**
λ₁tau intercept	0.0863	2.15**
λ₂forecast adj.	0.0493	2.26**
λ₃tau persistence	0.9271	29.85***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0755	4.23***
β GARCH Volatility persistence	0.7307	18.69***
γ leverage Additional response to negative shocks	0.0656	2.56**
λ₁ tau intercept Baseline long-term coefficient	0.0863	2.15**
λ₂ forecast adj. Forecast performance sensitivity	0.0493	2.26**
λ₃ tau persistence Long-term factor persistence	0.9271	29.85***

V-Lab

Akita Bank Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Akita Bank Ltd Analyses