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{name} Model Equation

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Param	Value	t-stat
mwindow	21
αARCH	0.1133	6.69***
βGARCH	0.8042	31.90***
γleverage	-0.0860	-4.86***
λ₁tau intercept	0.0010	2.59***
λ₂forecast adj.	0.0249	6.39***
λ₃tau persistence	0.9725	228.34***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1133	6.69***
β GARCH Volatility persistence	0.8042	31.90***
γ leverage Additional response to negative shocks	-0.0860	-4.86***
λ₁ tau intercept Baseline long-term coefficient	0.0010	2.59***
λ₂ forecast adj. Forecast performance sensitivity	0.0249	6.39***
λ₃ tau persistence Long-term factor persistence	0.9725	228.34***

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Polish Zloty MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Polish Zloty Analyses