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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.0511	1.33
β GARCH Volatility persistence	0.0875	0.80
γ leverage Additional response to negative shocks	0.0313	1.31
λ₁ tau intercept Baseline long-term coefficient	0.0205	0.10
λ₂ forecast adj. Forecast performance sensitivity	0.9386	0.10
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Croatian Kuna MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Croatian Kuna Analyses