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{name} Model Equation

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Param	Value	t-stat
mwindow	36
αARCH	0.0096	0.74
βGARCH	0.1073	0.95
γleverage	0.1109	4.54***
λ₁tau intercept	0.0597	4.09***
λ₂forecast adj.	0.8210	5.65***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0096	0.74
β GARCH Volatility persistence	0.1073	0.95
γ leverage Additional response to negative shocks	0.1109	4.54***
λ₁ tau intercept Baseline long-term coefficient	0.0597	4.09***
λ₂ forecast adj. Forecast performance sensitivity	0.8210	5.65***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Australian Dollar MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Australian Dollar Analyses