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{name} Model Equation

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Param	Value	t-stat
ωconst	1.6135	10.11***
αARCH	0.1059	4.52***
βGARCH	0.6215	8.13***

γ₁	0.4443	5.24***
γ₂	-0.6719	-4.71***
γ₃	0.2334	1.98**
γ₄	0.1246	0.90
γ₅	-0.2426	-1.38
γ₆	0.1954	1.08
γ₇	-0.1344	-0.82
γ₈	0.0461	0.27
γ₉	0.2396	0.97

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6135	10.11***
α ARCH Response to squared shocks	0.1059	4.52***
β GARCH Volatility persistence	0.6215	8.13***

γ₁	0.4443	5.24***
γ₂	-0.6719	-4.71***
γ₃	0.2334	1.98**
γ₄	0.1246	0.90
γ₅	-0.2426	-1.38
γ₆	0.1954	1.08
γ₇	-0.1344	-0.82
γ₈	0.0461	0.27
γ₉	0.2396	0.97

V-Lab

Huron Consulting Group Inc Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Huron Consulting Group Inc Analyses