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Param	Value	t-stat
ωconst	1.0515	2.72***
αARCH	0.1214	5.92***
βGARCH	0.7684	19.34***

γ₁	0.3053	0.64
γ₂	-0.7671	-1.05
γ₃	0.8371	1.92*
γ₄	-0.6221	-2.02**
γ₅	0.3834	1.81*
γ₆	-0.1237	-0.73
γ₇	-0.1223	-0.66
γ₈	0.3859	1.78*
γ₉	-0.4339	-1.68*
γ₁₀	0.1246	0.60

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0515	2.72***
α ARCH Response to squared shocks	0.1214	5.92***
β GARCH Volatility persistence	0.7684	19.34***

γ₁	0.3053	0.64
γ₂	-0.7671	-1.05
γ₃	0.8371	1.92*
γ₄	-0.6221	-2.02**
γ₅	0.3834	1.81*
γ₆	-0.1237	-0.73
γ₇	-0.1223	-0.66
γ₈	0.3859	1.78*
γ₉	-0.4339	-1.68*
γ₁₀	0.1246	0.60

V-Lab

Luna Innovations Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Luna Innovations Inc Analyses