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{name} Model Equation

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Param	Value	t-stat
ωconst	0.0168	1.47
αARCH	0.0559	1.69*
βGARCH	0.9355	60.38***
γleverage	-0.0288	-0.62

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0168	1.47
α ARCH Response to squared shocks	0.0559	1.69*
β GARCH Volatility persistence	0.9355	60.38***
γ leverage Additional response to negative shocks	-0.0288	-0.62

V-Lab

Gold Troy Ounce GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gold Troy Ounce Analyses