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{name} Model Equation

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Param	Value	t-stat
mwindow	76
αARCH	0.7767	22.02***
βGARCH	0.0714	3.50***
γleverage	-0.0407	-0.99
λ₁tau intercept	0.0244	1.28
λ₂forecast adj.	1.0000	40.39***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.7767	22.02***
β GARCH Volatility persistence	0.0714	3.50***
γ leverage Additional response to negative shocks	-0.0407	-0.99
λ₁ tau intercept Baseline long-term coefficient	0.0244	1.28
λ₂ forecast adj. Forecast performance sensitivity	1.0000	40.39***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

BDI Baltic Exchange Dry Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BDI Baltic Exchange Dry Index Analyses