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{name} Model Equation

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Param	Value	t-stat
mwindow	46
αARCH	0.2152	3.70***
βGARCH	0.6913	4.70***
γleverage	-0.0524	-0.32
λ₁tau intercept	10.0000	0.53
λ₂forecast adj.	0.1955	0.48
λ₃tau persistence	0.7124	1.32

Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.2152	3.70***
β GARCH Volatility persistence	0.6913	4.70***
γ leverage Additional response to negative shocks	-0.0524	-0.32
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.53
λ₂ forecast adj. Forecast performance sensitivity	0.1955	0.48
λ₃ tau persistence Long-term factor persistence	0.7124	1.32

V-Lab

TOP Kingwin Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other TOP Kingwin Ltd Analyses