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{name} Model Equation

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Param	Value	t-stat
ωconst	0.0025	3.64***
αARCH	0.0172	3.62***
βGARCH	0.9613	192.41***
γleverage	0.0258	2.31**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0025	3.64***
α ARCH Response to squared shocks	0.0172	3.62***
β GARCH Volatility persistence	0.9613	192.41***
γ leverage Additional response to negative shocks	0.0258	2.31**

V-Lab

Australian Dollar GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Australian Dollar Analyses