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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.1774	1.36
β GARCH Volatility persistence	0.1184	2.19**
γ leverage Additional response to negative shocks	-0.1774	-1.29
λ₁ tau intercept Baseline long-term coefficient	0.0115	0.02
λ₂ forecast adj. Forecast performance sensitivity	0.0399	0.02
λ₃ tau persistence Long-term factor persistence	0.7634	0.07

V-Lab

Genter Capital TAX Qlty Inmd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Genter Capital TAX Qlty Inmd Analyses