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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.5021	19.69***
β GARCH Volatility persistence	0.5478	197.42***
γ leverage Additional response to negative shocks	-0.5000	-19.97***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.04
λ₂ forecast adj. Forecast performance sensitivity	0.0052	4.46***
λ₃ tau persistence Long-term factor persistence	0.0360	1.86*

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Busy Ming Group Co Ltd MF2-GARCH Volatility Analysis

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