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{name} Model Equation

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Param	Value	t-stat
mwindow	46
αARCH	0.0103	0.55
βGARCH	0.7937	45.11***
γleverage	0.2285	12.24***
λ₁tau intercept	0.0058	1.03
λ₂forecast adj.	0.0203	1.66*
λ₃tau persistence	0.9741	55.55***

Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0103	0.55
β GARCH Volatility persistence	0.7937	45.11***
γ leverage Additional response to negative shocks	0.2285	12.24***
λ₁ tau intercept Baseline long-term coefficient	0.0058	1.03
λ₂ forecast adj. Forecast performance sensitivity	0.0203	1.66*
λ₃ tau persistence Long-term factor persistence	0.9741	55.55***

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Swiss Market Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Swiss Market Index Analyses