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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.1525	19.61***
β GARCH Volatility persistence	0.5058	22.62***
γ leverage Additional response to negative shocks	-0.0495	-4.07***
λ₁ tau intercept Baseline long-term coefficient	0.4951	0.62
λ₂ forecast adj. Forecast performance sensitivity	0.0610	0.98
λ₃ tau persistence Long-term factor persistence	0.9129	9.64***

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Travelzoo Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Travelzoo Inc Analyses