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Param	Value	t-stat
mwindow	71
αARCH	0.1324	5.61***
βGARCH	0.0000	0.00
γleverage	-0.0486	-1.72*
λ₁tau intercept	0.0582	4.05***
λ₂forecast adj.	0.8454	6.45***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.1324	5.61***
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	-0.0486	-1.72*
λ₁ tau intercept Baseline long-term coefficient	0.0582	4.05***
λ₂ forecast adj. Forecast performance sensitivity	0.8454	6.45***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Norwegian Krone MF2-GARCH Volatility Analysis

Date Range:

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Other Norwegian Krone Analyses