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{name} Model Equation

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Param	Value	t-stat
ωconst	0.0006	4.78***
αARCH	0.0563	5.70***
βGARCH	0.9467	184.03***
γleverage	-0.0204	-1.46

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0006	4.78***
α ARCH Response to squared shocks	0.0563	5.70***
β GARCH Volatility persistence	0.9467	184.03***
γ leverage Additional response to negative shocks	-0.0204	-1.46

V-Lab

Singapore Dollar GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Singapore Dollar Analyses