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{name} Model Equation

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Param	Value	t-stat
ωconst	0.0006	4.77***
αARCH	0.0562	5.71***
βGARCH	0.9468	185.13***
γleverage	-0.0201	-1.44

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0006	4.77***
α ARCH Response to squared shocks	0.0562	5.71***
β GARCH Volatility persistence	0.9468	185.13***
γ leverage Additional response to negative shocks	-0.0201	-1.44

V-Lab

Singapore Dollar GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Singapore Dollar Analyses