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{name} Model Equation

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Param	Value	t-stat
mwindow	86
αARCH	0.1569	7.43***
βGARCH	0.0000	0.00
γleverage	0.5000	11.49***
λ₁tau intercept	0.2212	3.65***
λ₂forecast adj.	0.0562	1.18
λ₃tau persistence	0.9438	322.02***

Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.1569	7.43***
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.5000	11.49***
λ₁ tau intercept Baseline long-term coefficient	0.2212	3.65***
λ₂ forecast adj. Forecast performance sensitivity	0.0562	1.18
λ₃ tau persistence Long-term factor persistence	0.9438	322.02***

V-Lab

Pasqal Holding SA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pasqal Holding SA Analyses