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{name} Model Equation

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Param	Value	t-stat
mwindow	126
αARCH	0.0970	4.22***
βGARCH	0.8313	33.60***
γleverage	0.0476	1.25
λ₁tau intercept	0.0432	0.69
λ₂forecast adj.	0.0606	1.84*
λ₃tau persistence	0.9369	24.27***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0970	4.22***
β GARCH Volatility persistence	0.8313	33.60***
γ leverage Additional response to negative shocks	0.0476	1.25
λ₁ tau intercept Baseline long-term coefficient	0.0432	0.69
λ₂ forecast adj. Forecast performance sensitivity	0.0606	1.84*
λ₃ tau persistence Long-term factor persistence	0.9369	24.27***

V-Lab

Centiel AG MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Centiel AG Analyses