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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0659	12.73***
β GARCH Volatility persistence	0.6026	55.80***
γ leverage Additional response to negative shocks	0.1832	21.42***
λ₁ tau intercept Baseline long-term coefficient	0.0205	2.45**
λ₂ forecast adj. Forecast performance sensitivity	0.0209	3.25***
λ₃ tau persistence Long-term factor persistence	0.9752	143.42***

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Denka Co Ltd MF2-GARCH Volatility Analysis

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