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{name} Model Equation

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Param	Value	t-stat
mwindow	51
αARCH	0.0472	3.28***
βGARCH	0.0000	0.00
γleverage	0.0068	0.35
λ₁tau intercept	0.0263	4.37***
λ₂forecast adj.	0.9122	13.22***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.0472	3.28***
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.0068	0.35
λ₁ tau intercept Baseline long-term coefficient	0.0263	4.37***
λ₂ forecast adj. Forecast performance sensitivity	0.9122	13.22***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Euro MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Euro Analyses