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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	0.1953	25.35***
β GARCH Volatility persistence	0.6369	44.13***
γ leverage Additional response to negative shocks	-0.0689	-5.57***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.63
λ₂ forecast adj. Forecast performance sensitivity	0.5990	0.66
λ₃ tau persistence Long-term factor persistence	0.0923	0.06

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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