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{name} Model Equation

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Param	Value	t-stat
mwindow	51
αARCH	0.0237	3.25***
βGARCH	0.9048	47.60***
γleverage	0.0109	1.26
λ₁tau intercept	0.0039	1.83*
λ₂forecast adj.	0.1230	2.51**
λ₃tau persistence	0.8610	15.29***

Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.0237	3.25***
β GARCH Volatility persistence	0.9048	47.60***
γ leverage Additional response to negative shocks	0.0109	1.26
λ₁ tau intercept Baseline long-term coefficient	0.0039	1.83*
λ₂ forecast adj. Forecast performance sensitivity	0.1230	2.51**
λ₃ tau persistence Long-term factor persistence	0.8610	15.29***

V-Lab

United States Dollar Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other United States Dollar Index Analyses