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Param	Value	t-stat
mwindow	126
αARCH	0.1924	6.57***
βGARCH	0.6497	15.05***
γleverage	0.0099	0.17
λ₁tau intercept	0.0160	1.85*
λ₂forecast adj.	0.8258	4.51***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1924	6.57***
β GARCH Volatility persistence	0.6497	15.05***
γ leverage Additional response to negative shocks	0.0099	0.17
λ₁ tau intercept Baseline long-term coefficient	0.0160	1.85*
λ₂ forecast adj. Forecast performance sensitivity	0.8258	4.51***
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