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{name} Model Equation

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Param	Value	t-stat
mwindow	126
αARCH	0.0901	1.84*
βGARCH	0.8661	8.21***
γleverage	0.0876	0.69
λ₁tau intercept	0.0480	0.26
λ₂forecast adj.	0.0036	0.47
λ₃tau persistence	0.9952	38.99***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0901	1.84*
β GARCH Volatility persistence	0.8661	8.21***
γ leverage Additional response to negative shocks	0.0876	0.69
λ₁ tau intercept Baseline long-term coefficient	0.0480	0.26
λ₂ forecast adj. Forecast performance sensitivity	0.0036	0.47
λ₃ tau persistence Long-term factor persistence	0.9952	38.99***

V-Lab

US Dollar to Kuwaiti Dinar MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Kuwaiti Dinar Analyses