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Param	Value	t-stat
mwindow	31
αARCH	0.1056	5.84***
βGARCH	0.6885	19.22***
γleverage	0.0230	0.87
λ₁tau intercept	0.0011	2.60***
λ₂forecast adj.	1.0000	26.71***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.1056	5.84***
β GARCH Volatility persistence	0.6885	19.22***
γ leverage Additional response to negative shocks	0.0230	0.87
λ₁ tau intercept Baseline long-term coefficient	0.0011	2.60***
λ₂ forecast adj. Forecast performance sensitivity	1.0000	26.71***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Malaysian Ringgit MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Malaysian Ringgit Analyses