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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1139	4.76***
α ARCH Response to squared shocks	0.0813	6.94***
β GARCH Volatility persistence	0.8941	63.56***

γ₁	0.0502	1.58
γ₂	-0.0138	-0.29
γ₃	-0.1024	-3.13***
γ₄	0.1805	5.33***
γ₅	-0.2330	-5.85***
γ₆	0.1615	3.68***
γ₇	-0.0016	-0.03
γ₈	-0.1572	-1.87*

V-Lab

MBIA Inc Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MBIA Inc Analyses