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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	33.3909	4.65***
α ARCH Response to squared shocks	0.1091	53.62***
β GARCH Volatility persistence	0.9835	294.98***
ν DF Student-t tail thickness	2.4305	103.67***

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Valbiotis SA GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Valbiotis SA Analyses