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{name} Model Equation

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Param	Value	t-stat
mwindow	21
αARCH	0.1673	8.78***
βGARCH	0.7633	30.24***
γleverage	-0.0873	-3.68***
λ₁tau intercept	0.0003	2.09**
λ₂forecast adj.	0.0267	6.05***
λ₃tau persistence	0.9733	226.02***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1673	8.78***
β GARCH Volatility persistence	0.7633	30.24***
γ leverage Additional response to negative shocks	-0.0873	-3.68***
λ₁ tau intercept Baseline long-term coefficient	0.0003	2.09**
λ₂ forecast adj. Forecast performance sensitivity	0.0267	6.05***
λ₃ tau persistence Long-term factor persistence	0.9733	226.02***

V-Lab

Colombian Peso MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Colombian Peso Analyses