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{name} Model Equation

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Param	Value	t-stat
mwindow	21
αARCH	0.1134	6.69***
βGARCH	0.8042	31.89***
γleverage	-0.0864	-4.87***
λ₁tau intercept	0.0010	2.57**
λ₂forecast adj.	0.0249	6.40***
λ₃tau persistence	0.9725	228.88***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1134	6.69***
β GARCH Volatility persistence	0.8042	31.89***
γ leverage Additional response to negative shocks	-0.0864	-4.87***
λ₁ tau intercept Baseline long-term coefficient	0.0010	2.57**
λ₂ forecast adj. Forecast performance sensitivity	0.0249	6.40***
λ₃ tau persistence Long-term factor persistence	0.9725	228.88***

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Polish Zloty MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Polish Zloty Analyses