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{name} Model Equation

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Param	Value	t-stat
ωconst	1.6037	5.09***
αARCH	0.1410	9.84***
βGARCH	0.8271	55.06***

γ₁	-0.0857	-1.33
γ₂	0.2896	2.74***
γ₃	-0.4411	-5.06***
γ₄	0.3438	4.79***
γ₅	-0.1011	-1.86*
γ₆	-0.0191	-0.40
γ₇	0.0356	0.75
γ₈	-0.0281	-0.62
γ₉	0.0008	0.03

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6037	5.09***
α ARCH Response to squared shocks	0.1410	9.84***
β GARCH Volatility persistence	0.8271	55.06***

γ₁	-0.0857	-1.33
γ₂	0.2896	2.74***
γ₃	-0.4411	-5.06***
γ₄	0.3438	4.79***
γ₅	-0.1011	-1.86*
γ₆	-0.0191	-0.40
γ₇	0.0356	0.75
γ₈	-0.0281	-0.62
γ₉	0.0008	0.03

V-Lab

Dynex Capital Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dynex Capital Inc Analyses