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Param	Value	t-stat
mwindow	51
αARCH	0.0495	3.28***
βGARCH	0.0839	0.53
γleverage	0.0325	1.34
λ₁tau intercept	0.0201	3.51***
λ₂forecast adj.	0.9401	18.70***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.0495	3.28***
β GARCH Volatility persistence	0.0839	0.53
γ leverage Additional response to negative shocks	0.0325	1.34
λ₁ tau intercept Baseline long-term coefficient	0.0201	3.51***
λ₂ forecast adj. Forecast performance sensitivity	0.9401	18.70***
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