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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1937	28.06***
β GARCH Volatility persistence	0.6504	44.84***
γ leverage Additional response to negative shocks	0.0079	0.49
λ₁ tau intercept Baseline long-term coefficient	0.0160	0.80
λ₂ forecast adj. Forecast performance sensitivity	0.8266	0.53
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Egyptian Pound MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Egyptian Pound Analyses