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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	96
α ARCH Response to squared shocks	0.2236	22.09***
β GARCH Volatility persistence	0.8231	106.53***
γ leverage Additional response to negative shocks	-0.0939	-8.96***
λ₁ tau intercept Baseline long-term coefficient	2.8057	8.28***
λ₂ forecast adj. Forecast performance sensitivity	0.0188	4.38***
λ₃ tau persistence Long-term factor persistence	0.9750	168.48***

V-Lab

MERF Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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