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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0890	11.01***
β GARCH Volatility persistence	0.6780	37.05***
γ leverage Additional response to negative shocks	0.0790	7.05***
λ₁ tau intercept Baseline long-term coefficient	0.0110	1.90*
λ₂ forecast adj. Forecast performance sensitivity	0.0280	2.78***
λ₃ tau persistence Long-term factor persistence	0.9683	88.01***

V-Lab

Altria Group Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Altria Group Inc Analyses