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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	0.1530	20.20***
β GARCH Volatility persistence	0.5156	23.70***
γ leverage Additional response to negative shocks	-0.0513	-4.25***
λ₁ tau intercept Baseline long-term coefficient	0.4151	0.65
λ₂ forecast adj. Forecast performance sensitivity	0.0514	0.97
λ₃ tau persistence Long-term factor persistence	0.9265	11.82***

V-Lab

Travelzoo Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Travelzoo Inc Analyses