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{name} Model Equation

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Param	Value	t-stat
mwindow	71
αARCH	0.0639	3.56***
βGARCH	0.9222	65.82***
γleverage	-0.0279	-1.26
λ₁tau intercept	0.6851	1.09
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.0639	3.56***
β GARCH Volatility persistence	0.9222	65.82***
γ leverage Additional response to negative shocks	-0.0279	-1.26
λ₁ tau intercept Baseline long-term coefficient	0.6851	1.09
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Gold Troy Ounce MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gold Troy Ounce Analyses