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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0759	2.71***
β GARCH Volatility persistence	0.1404	3.23***
γ leverage Additional response to negative shocks	0.0212	1.91*
λ₁ tau intercept Baseline long-term coefficient	0.0112	0.40
λ₂ forecast adj. Forecast performance sensitivity	0.8639	0.63
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Singapore Dollar MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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