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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0672	13.21***
β GARCH Volatility persistence	0.8783	113.09***
γ leverage Additional response to negative shocks	0.0482	6.40***
λ₁ tau intercept Baseline long-term coefficient	0.0162	7.63***
λ₂ forecast adj. Forecast performance sensitivity	0.0129	3.86***
λ₃ tau persistence Long-term factor persistence	0.9840	261.92***

V-Lab

ICE Brent Crude Oil MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ICE Brent Crude Oil Analyses