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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.1352	14.57***
β GARCH Volatility persistence	0.6459	39.42***
γ leverage Additional response to negative shocks	0.0342	2.50**
λ₁ tau intercept Baseline long-term coefficient	1.4747	2.64***
λ₂ forecast adj. Forecast performance sensitivity	0.6828	9.62***
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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