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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1722	25.23***
β GARCH Volatility persistence	0.7135	52.37***
γ leverage Additional response to negative shocks	-0.1299	-16.63***
λ₁ tau intercept Baseline long-term coefficient	0.0012	2.78***
λ₂ forecast adj. Forecast performance sensitivity	0.0551	5.33***
λ₃ tau persistence Long-term factor persistence	0.9449	91.61***

V-Lab

US Dollar to South African Rand MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to South African Rand Analyses