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{name} Model Equation

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Param	Value	t-stat
mwindow	116
αARCH	0.0672	4.32***
βGARCH	0.7879	23.24***
γleverage	0.0236	1.12
λ₁tau intercept	1.1891	1.86*
λ₂forecast adj.	0.7586	4.32***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	116
α ARCH Response to squared shocks	0.0672	4.32***
β GARCH Volatility persistence	0.7879	23.24***
γ leverage Additional response to negative shocks	0.0236	1.12
λ₁ tau intercept Baseline long-term coefficient	1.1891	1.86*
λ₂ forecast adj. Forecast performance sensitivity	0.7586	4.32***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

K+S AG MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other K+S AG Analyses