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Param	Value	t-stat
mwindow	36
αARCH	0.0904	4.46***
βGARCH	0.1087	0.95
γleverage	-0.0156	-0.58
λ₁tau intercept	0.0716	4.81***
λ₂forecast adj.	0.8422	6.29***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0904	4.46***
β GARCH Volatility persistence	0.1087	0.95
γ leverage Additional response to negative shocks	-0.0156	-0.58
λ₁ tau intercept Baseline long-term coefficient	0.0716	4.81***
λ₂ forecast adj. Forecast performance sensitivity	0.8422	6.29***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Hungarian Forint MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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Other Hungarian Forint Analyses