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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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Param	Value	t-stat
mwindow	26
αARCH	0.0447	4.52***
βGARCH	0.9706	143.57***
γleverage	-0.0327	-2.99***
λ₁tau intercept	0.0879	1.39
λ₂forecast adj.	0.3476	2.24**
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0447	4.52***
β GARCH Volatility persistence	0.9706	143.57***
γ leverage Additional response to negative shocks	-0.0327	-2.99***
λ₁ tau intercept Baseline long-term coefficient	0.0879	1.39
λ₂ forecast adj. Forecast performance sensitivity	0.3476	2.24**
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

US Dollar to Turkish New Lira MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Turkish New Lira Analyses