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{name} Model Equation

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Param	Value	t-stat
mwindow	46
αARCH	0.2331	3.86***
βGARCH	0.7519	26.68***
γleverage	-0.0585	-0.73
λ₁tau intercept	0.0000	1.25
λ₂forecast adj.	0.0745	4.35***
λ₃tau persistence	0.9255	54.99***

Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.2331	3.86***
β GARCH Volatility persistence	0.7519	26.68***
γ leverage Additional response to negative shocks	-0.0585	-0.73
λ₁ tau intercept Baseline long-term coefficient	0.0000	1.25
λ₂ forecast adj. Forecast performance sensitivity	0.0745	4.35***
λ₃ tau persistence Long-term factor persistence	0.9255	54.99***

V-Lab

US Dollar to Argentine Peso MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Argentine Peso Analyses