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{name} Model Equation

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Param	Value	t-stat
mwindow	71
αARCH	0.1504	4.83***
βGARCH	0.5950	12.22***
γleverage	0.0049	0.10
λ₁tau intercept	0.0037	2.44**
λ₂forecast adj.	0.9047	6.25***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.1504	4.83***
β GARCH Volatility persistence	0.5950	12.22***
γ leverage Additional response to negative shocks	0.0049	0.10
λ₁ tau intercept Baseline long-term coefficient	0.0037	2.44**
λ₂ forecast adj. Forecast performance sensitivity	0.9047	6.25***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Kuwaiti Dinar MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kuwaiti Dinar Analyses