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{name} Model Equation

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Param	Value	t-stat
mwindow	56
αARCH	0.0737	4.60***
βGARCH	0.0432	0.30
γleverage	0.0131	0.55
λ₁tau intercept	0.0075	2.12**
λ₂forecast adj.	0.3889	2.72***
λ₃tau persistence	0.5876	3.85***

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.0737	4.60***
β GARCH Volatility persistence	0.0432	0.30
γ leverage Additional response to negative shocks	0.0131	0.55
λ₁ tau intercept Baseline long-term coefficient	0.0075	2.12**
λ₂ forecast adj. Forecast performance sensitivity	0.3889	2.72***
λ₃ tau persistence Long-term factor persistence	0.5876	3.85***

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Danish Krone MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Danish Krone Analyses