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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0000	0.02
β GARCH Volatility persistence	0.0000	0.77
γ leverage Additional response to negative shocks	0.1859	3.54***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.04
λ₂ forecast adj. Forecast performance sensitivity	0.4767	3.37***
λ₃ tau persistence Long-term factor persistence	0.0000	0.01

V-Lab

CID Holdco Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CID Holdco Inc Analyses