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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.8546
β GARCH Volatility persistence	0.0737
γ leverage Additional response to negative shocks	0.1434
λ₁ tau intercept Baseline long-term coefficient	0.1674	15.24***
λ₂ forecast adj. Forecast performance sensitivity	0.6267	23.82***
λ₃ tau persistence Long-term factor persistence	0.0055	0.13

V-Lab

Hungarian Forint MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hungarian Forint Analyses