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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8444	238.59***
γ leverage Additional response to negative shocks	0.1882	45.95***
λ₁ tau intercept Baseline long-term coefficient	0.0189	5.47***
λ₂ forecast adj. Forecast performance sensitivity	0.0879	4.73***
λ₃ tau persistence Long-term factor persistence	0.8919	40.56***

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Dow Jones Industrial Average MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones Industrial Average Analyses