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{name} Model Equation

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Param	Value	t-stat
mwindow	126
αARCH	0.0636	3.69***
βGARCH	0.9212	81.37***
γleverage	-0.0260	-1.13
λ₁tau intercept	0.0010	0.17
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.9986	61.00***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0636	3.69***
β GARCH Volatility persistence	0.9212	81.37***
γ leverage Additional response to negative shocks	-0.0260	-1.13
λ₁ tau intercept Baseline long-term coefficient	0.0010	0.17
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9986	61.00***

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Gold Troy Ounce MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gold Troy Ounce Analyses