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{name} Model Equation

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Param	Value	t-stat
mwindow	46
αARCH	0.1390	4.41***
βGARCH	0.6910	15.85***
γleverage	0.0045	0.12
λ₁tau intercept	0.0259	2.08**
λ₂forecast adj.	0.6091	2.47**
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.1390	4.41***
β GARCH Volatility persistence	0.6910	15.85***
γ leverage Additional response to negative shocks	0.0045	0.12
λ₁ tau intercept Baseline long-term coefficient	0.0259	2.08**
λ₂ forecast adj. Forecast performance sensitivity	0.6091	2.47**
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

US Dollar to Taiwanese Dollar MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Taiwanese Dollar Analyses