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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.1999	25.58***
β GARCH Volatility persistence	0.6313	43.81***
γ leverage Additional response to negative shocks	-0.0703	-5.66***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.64
λ₂ forecast adj. Forecast performance sensitivity	0.5961	0.67
λ₃ tau persistence Long-term factor persistence	0.0938	0.07

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TLT Percentage Price Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other TLT Percentage Price Volatility Index Analyses