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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0124	0.02
β GARCH Volatility persistence	0.2875	0.48
γ leverage Additional response to negative shocks	-0.0124	-0.02
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0164	0.01
λ₃ tau persistence Long-term factor persistence	0.9124	0.17

V-Lab

Versant Media Group Inc MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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