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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8389	136.77***
γ leverage Additional response to negative shocks	0.1317	33.23***
λ₁ tau intercept Baseline long-term coefficient	0.0157	2.75***
λ₂ forecast adj. Forecast performance sensitivity	0.0697	3.65***
λ₃ tau persistence Long-term factor persistence	0.9221	44.61***

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S&P Asia 50 CME MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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