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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1066	16.02***
β GARCH Volatility persistence	0.8347	110.90***
γ leverage Additional response to negative shocks	-0.0010	-0.15
λ₁ tau intercept Baseline long-term coefficient	0.0966	4.50***
λ₂ forecast adj. Forecast performance sensitivity	0.0328	5.22***
λ₃ tau persistence Long-term factor persistence	0.9534	108.87***

V-Lab

RBOB Gasoline MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other RBOB Gasoline Analyses