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How volatility evolves over time

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{name} Model Equation

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Param	Value	t-stat
mwindow	21
αARCH	0.1490	6.72***
βGARCH	0.7253	20.46***
γleverage	-0.0954	-3.97***
λ₁tau intercept	0.0008	1.51
λ₂forecast adj.	0.0239	4.31***
λ₃tau persistence	0.9744	146.08***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1490	6.72***
β GARCH Volatility persistence	0.7253	20.46***
γ leverage Additional response to negative shocks	-0.0954	-3.97***
λ₁ tau intercept Baseline long-term coefficient	0.0008	1.51
λ₂ forecast adj. Forecast performance sensitivity	0.0239	4.31***
λ₃ tau persistence Long-term factor persistence	0.9744	146.08***

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