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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	0.0647	12.74***
β GARCH Volatility persistence	0.8812	114.00***
γ leverage Additional response to negative shocks	0.0494	6.52***
λ₁ tau intercept Baseline long-term coefficient	0.0156	7.60***
λ₂ forecast adj. Forecast performance sensitivity	0.0127	3.78***
λ₃ tau persistence Long-term factor persistence	0.9844	261.45***

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