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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.1316	21.88***
β GARCH Volatility persistence	0.7776	68.36***
γ leverage Additional response to negative shocks	-0.0456	-5.62***
λ₁ tau intercept Baseline long-term coefficient	0.0205	0.63
λ₂ forecast adj. Forecast performance sensitivity	0.7008	0.80
λ₃ tau persistence Long-term factor persistence	0.1099	0.10

V-Lab

Philippine Peso MF2-GARCH Volatility Analysis

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