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{name} Model Equation

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Param	Value	t-stat
mwindow	106
αARCH	0.0166	2.15**
βGARCH	0.9304	65.36***
γleverage	0.0203	2.27**
λ₁tau intercept	0.0317	3.41***
λ₂forecast adj.	0.8477	13.19***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	106
α ARCH Response to squared shocks	0.0166	2.15**
β GARCH Volatility persistence	0.9304	65.36***
γ leverage Additional response to negative shocks	0.0203	2.27**
λ₁ tau intercept Baseline long-term coefficient	0.0317	3.41***
λ₂ forecast adj. Forecast performance sensitivity	0.8477	13.19***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

British Pound MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other British Pound Analyses