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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1288	28.04***
β GARCH Volatility persistence	0.6329	58.45***
γ leverage Additional response to negative shocks	0.0693	9.65***
λ₁ tau intercept Baseline long-term coefficient	0.0415	3.30***
λ₂ forecast adj. Forecast performance sensitivity	0.0310	5.12***
λ₃ tau persistence Long-term factor persistence	0.9605	120.02***

V-Lab

Obayashi Corp MF2-GARCH Volatility Analysis

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