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{name} Model Equation

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Param	Value	t-stat
mwindow	61
αARCH	0.0884	6.15***
βGARCH	0.8672	45.33***
γleverage	-0.0370	-2.67***
λ₁tau intercept	0.0002	0.64
λ₂forecast adj.	0.0062	0.91
λ₃tau persistence	0.9929	121.34***

Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0884	6.15***
β GARCH Volatility persistence	0.8672	45.33***
γ leverage Additional response to negative shocks	-0.0370	-2.67***
λ₁ tau intercept Baseline long-term coefficient	0.0002	0.64
λ₂ forecast adj. Forecast performance sensitivity	0.0062	0.91
λ₃ tau persistence Long-term factor persistence	0.9929	121.34***

V-Lab

Israeli Shekel MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Israeli Shekel Analyses