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{name} Model Equation

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Param	Value	t-stat
mwindow	91
αARCH	0.1980	4.36***
βGARCH	0.8194	29.69***
γleverage	-0.0348	-0.50
λ₁tau intercept	0.0136	0.35
λ₂forecast adj.	0.0246	2.48**
λ₃tau persistence	0.9754	104.08***

Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.1980	4.36***
β GARCH Volatility persistence	0.8194	29.69***
γ leverage Additional response to negative shocks	-0.0348	-0.50
λ₁ tau intercept Baseline long-term coefficient	0.0136	0.35
λ₂ forecast adj. Forecast performance sensitivity	0.0246	2.48**
λ₃ tau persistence Long-term factor persistence	0.9754	104.08***

V-Lab

Argentine Peso MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Argentine Peso Analyses