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{name} Model Equation

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Param	Value	t-stat
mwindow	61
αARCH	0.1100	0.89
βGARCH	0.8325	3.78***
γleverage	0.1150	0.57
λ₁tau intercept	0.0383	0.62
λ₂forecast adj.	0.0044	0.33
λ₃tau persistence	0.9950	183.32***

Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.1100	0.89
β GARCH Volatility persistence	0.8325	3.78***
γ leverage Additional response to negative shocks	0.1150	0.57
λ₁ tau intercept Baseline long-term coefficient	0.0383	0.62
λ₂ forecast adj. Forecast performance sensitivity	0.0044	0.33
λ₃ tau persistence Long-term factor persistence	0.9950	183.32***

V-Lab

Kuwaiti Dinar MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kuwaiti Dinar Analyses