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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.1300	1.68*
β GARCH Volatility persistence	0.0055	0.12
γ leverage Additional response to negative shocks	-0.1014	-1.65*
λ₁ tau intercept Baseline long-term coefficient	0.0882	0.19
λ₂ forecast adj. Forecast performance sensitivity	0.7430	0.22
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

US Dollar to New Zealand Dollar MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to New Zealand Dollar Analyses