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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.3417	56.40***
β GARCH Volatility persistence	0.0079	20.42***
γ leverage Additional response to negative shocks	0.3441	27.95***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.9421	27.06***
λ₃ tau persistence Long-term factor persistence	0.0000	0.05

V-Lab

Horizon Kinetics JPN QWN OPR MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Horizon Kinetics JPN QWN OPR Analyses