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Param	Value	t-stat
mwindow	106
αARCH	0.0540	3.76***
βGARCH	0.8785	39.12***
γleverage	0.0490	1.95*
λ₁tau intercept	2.6990	0.06
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.2839	0.02

Parameter	Value	t-statistic
m window Rolling window length	106
α ARCH Response to squared shocks	0.0540	3.76***
β GARCH Volatility persistence	0.8785	39.12***
γ leverage Additional response to negative shocks	0.0490	1.95*
λ₁ tau intercept Baseline long-term coefficient	2.6990	0.06
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.2839	0.02

V-Lab

Akita Bank Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Akita Bank Ltd Analyses