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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.9537
β GARCH Volatility persistence	0.0000
γ leverage Additional response to negative shocks	0.0926
λ₁ tau intercept Baseline long-term coefficient	1.2858	91.81***
λ₂ forecast adj. Forecast performance sensitivity	0.2843	305.72***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Blue Owl Capital Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Blue Owl Capital Corp Analyses