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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.1358	14.60***
β GARCH Volatility persistence	0.6343	37.10***
γ leverage Additional response to negative shocks	0.0337	2.44**
λ₁ tau intercept Baseline long-term coefficient	1.4619	2.53**
λ₂ forecast adj. Forecast performance sensitivity	0.6834	9.57***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Planetel Spa MF2-GARCH Volatility Analysis

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