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{name} Model Equation

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Param	Value	t-stat
ωconst	0.0011	5.16***
αARCH	0.0906	6.02***
βGARCH	0.9074	103.76***
γleverage	-0.0033	-0.13

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0011	5.16***
α ARCH Response to squared shocks	0.0906	6.02***
β GARCH Volatility persistence	0.9074	103.76***
γ leverage Additional response to negative shocks	-0.0033	-0.13

V-Lab

Malaysian Ringgit GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Malaysian Ringgit Analyses