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{name} Model Equation

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Param	Value	t-stat
mwindow	96
αARCH	0.1952	1.22
βGARCH	0.0000	0.00
γleverage	0.1122	0.49
λ₁tau intercept	5.8127	0.05
λ₂forecast adj.	0.0140	0.07
λ₃tau persistence	0.9860	3.04***

Parameter	Value	t-statistic
m window Rolling window length	96
α ARCH Response to squared shocks	0.1952	1.22
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.1122	0.49
λ₁ tau intercept Baseline long-term coefficient	5.8127	0.05
λ₂ forecast adj. Forecast performance sensitivity	0.0140	0.07
λ₃ tau persistence Long-term factor persistence	0.9860	3.04***

V-Lab

Inlif Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Inlif Ltd Analyses