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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.1243	15.88***
β GARCH Volatility persistence	0.4279	26.27***
γ leverage Additional response to negative shocks	0.0719	5.98***
λ₁ tau intercept Baseline long-term coefficient	0.7543	1.18
λ₂ forecast adj. Forecast performance sensitivity	0.7858	3.23***
λ₃ tau persistence Long-term factor persistence	0.0659	0.18

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Katakura Chikkarin Co Ltd MF2-GARCH Volatility Analysis

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