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{name} Model Equation

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Param	Value	t-stat
ωconst	0.0014	2.93***
αARCH	0.0364	4.22***
βGARCH	0.9610	152.15***
γleverage	-0.0028	-0.25

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0014	2.93***
α ARCH Response to squared shocks	0.0364	4.22***
β GARCH Volatility persistence	0.9610	152.15***
γ leverage Additional response to negative shocks	-0.0028	-0.25

V-Lab

Czech Koruna GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Czech Koruna Analyses