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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.1195	33.41***
β GARCH Volatility persistence	0.7262	136.56***
γ leverage Additional response to negative shocks	0.2215	31.92***
λ₁ tau intercept Baseline long-term coefficient	0.0098	7.91***
λ₂ forecast adj. Forecast performance sensitivity	0.9202	11.19***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

ICE BofA Single-B US High Yield Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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