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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0649	12.33***
β GARCH Volatility persistence	0.8791	112.94***
γ leverage Additional response to negative shocks	0.0500	6.47***
λ₁ tau intercept Baseline long-term coefficient	0.0159	7.43***
λ₂ forecast adj. Forecast performance sensitivity	0.0127	3.83***
λ₃ tau persistence Long-term factor persistence	0.9841	262.44***

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