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{name} Model Equation

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Param	Value	t-stat
mwindow	56
αARCH	0.0751	4.67***
βGARCH	0.0448	0.31
γleverage	0.0122	0.51
λ₁tau intercept	0.0074	2.11**
λ₂forecast adj.	0.3864	2.73***
λ₃tau persistence	0.5907	3.91***

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.0751	4.67***
β GARCH Volatility persistence	0.0448	0.31
γ leverage Additional response to negative shocks	0.0122	0.51
λ₁ tau intercept Baseline long-term coefficient	0.0074	2.11**
λ₂ forecast adj. Forecast performance sensitivity	0.3864	2.73***
λ₃ tau persistence Long-term factor persistence	0.5907	3.91***

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Danish Krone MF2-GARCH Volatility Analysis

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Other Danish Krone Analyses