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{name} Model Equation

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Param	Value	t-stat
mwindow	71
αARCH	0.0414	4.99***
βGARCH	0.8975	43.31***
γleverage	-0.0345	-3.46***
λ₁tau intercept	0.0571	4.12***
λ₂forecast adj.	0.8636	10.87***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.0414	4.99***
β GARCH Volatility persistence	0.8975	43.31***
γ leverage Additional response to negative shocks	-0.0345	-3.46***
λ₁ tau intercept Baseline long-term coefficient	0.0571	4.12***
λ₂ forecast adj. Forecast performance sensitivity	0.8636	10.87***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Hungarian Forint MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hungarian Forint Analyses