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{name} Model Equation

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Param	Value	t-stat
mwindow	26
αARCH	0.0768	4.23***
βGARCH	0.7257	18.05***
γleverage	0.0641	2.47**
λ₁tau intercept	0.0889	2.18**
λ₂forecast adj.	0.0498	2.28**
λ₃tau persistence	0.9257	29.50***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0768	4.23***
β GARCH Volatility persistence	0.7257	18.05***
γ leverage Additional response to negative shocks	0.0641	2.47**
λ₁ tau intercept Baseline long-term coefficient	0.0889	2.18**
λ₂ forecast adj. Forecast performance sensitivity	0.0498	2.28**
λ₃ tau persistence Long-term factor persistence	0.9257	29.50***

V-Lab

Akita Bank Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Akita Bank Ltd Analyses