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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.7500
β GARCH Volatility persistence	0.0000
γ leverage Additional response to negative shocks	0.5000
λ₁ tau intercept Baseline long-term coefficient	0.0088	14.28***
λ₂ forecast adj. Forecast performance sensitivity	1.0000	52.64***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Bloomberg Global Aggregate Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis

Date Range:

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