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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

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Spline Coefficients

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Param	Value	t-stat
mwindow	21
αARCH	0.1511	6.70***
βGARCH	0.7205	19.87***
γleverage	-0.0974	-4.00***
λ₁tau intercept	0.0008	1.52
λ₂forecast adj.	0.0246	4.23***
λ₃tau persistence	0.9736	139.66***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1511	6.70***
β GARCH Volatility persistence	0.7205	19.87***
γ leverage Additional response to negative shocks	-0.0974	-4.00***
λ₁ tau intercept Baseline long-term coefficient	0.0008	1.52
λ₂ forecast adj. Forecast performance sensitivity	0.0246	4.23***
λ₃ tau persistence Long-term factor persistence	0.9736	139.66***

V-Lab

US Dollar to Chilean Peso MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Chilean Peso Analyses