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Param	Value	t-stat
mwindow	36
αARCH	0.0647	2.85***
βGARCH	0.0784	0.49
γleverage	0.0302	0.86
λ₁tau intercept	0.0390	4.68***
λ₂forecast adj.	0.9061	10.69***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0647	2.85***
β GARCH Volatility persistence	0.0784	0.49
γ leverage Additional response to negative shocks	0.0302	0.86
λ₁ tau intercept Baseline long-term coefficient	0.0390	4.68***
λ₂ forecast adj. Forecast performance sensitivity	0.9061	10.69***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Czech Koruna MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Czech Koruna Analyses