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{name} Model Equation

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Param	Value	t-stat
mwindow	81
αARCH	0.0051	0.38
βGARCH	0.8908	11.02***
γleverage	0.0495	2.06**
λ₁tau intercept	0.6251	2.63***
λ₂forecast adj.	1.0000	9.43***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0051	0.38
β GARCH Volatility persistence	0.8908	11.02***
γ leverage Additional response to negative shocks	0.0495	2.06**
λ₁ tau intercept Baseline long-term coefficient	0.6251	2.63***
λ₂ forecast adj. Forecast performance sensitivity	1.0000	9.43***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Regencell Bioscience Hol Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Regencell Bioscience Hol Ltd Analyses