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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	0.1067	15.97***
β GARCH Volatility persistence	0.8346	110.69***
γ leverage Additional response to negative shocks	-0.0011	-0.17
λ₁ tau intercept Baseline long-term coefficient	0.0960	4.49***
λ₂ forecast adj. Forecast performance sensitivity	0.0326	5.21***
λ₃ tau persistence Long-term factor persistence	0.9537	109.49***

V-Lab

RBOB Gasoline MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other RBOB Gasoline Analyses