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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.0643	10.52***
β GARCH Volatility persistence	0.8512	89.44***
γ leverage Additional response to negative shocks	0.1060	7.76***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.33
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.2564	0.11

V-Lab

Landi Renzo SPA MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Landi Renzo SPA Analyses