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{name} Model Equation

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Param	Value	t-stat
mwindow	126
αARCH	0.2020	4.45***
βGARCH	0.8172	45.60***
γleverage	-0.0484	-0.71
λ₁tau intercept	0.0005	0.65
λ₂forecast adj.	0.0744	1.33
λ₃tau persistence	0.9256	16.33***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.2020	4.45***
β GARCH Volatility persistence	0.8172	45.60***
γ leverage Additional response to negative shocks	-0.0484	-0.71
λ₁ tau intercept Baseline long-term coefficient	0.0005	0.65
λ₂ forecast adj. Forecast performance sensitivity	0.0744	1.33
λ₃ tau persistence Long-term factor persistence	0.9256	16.33***

V-Lab

Argentine Peso MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Argentine Peso Analyses