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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	106
α ARCH Response to squared shocks	0.0538	15.56***
β GARCH Volatility persistence	0.8779	123.46***
γ leverage Additional response to negative shocks	0.0495	8.50***
λ₁ tau intercept Baseline long-term coefficient	3.1008	0.01
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.1753	0.00

V-Lab

Akita Bank Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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