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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0483	24.23***
β GARCH Volatility persistence	0.9313	339.50***
γ leverage Additional response to negative shocks	0.0253	6.91***
λ₁ tau intercept Baseline long-term coefficient	9.5780	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Goldcrest Co Ltd MF2-GARCH Volatility Analysis

Date Range:

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