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Parameter	Value	t-statistic
m window Rolling window length	96
α ARCH Response to squared shocks	0.1985	17.96***
β GARCH Volatility persistence	0.6210	43.53***
γ leverage Additional response to negative shocks	0.0458	2.23**
λ₁ tau intercept Baseline long-term coefficient	0.1160	0.67
λ₂ forecast adj. Forecast performance sensitivity	0.0048	0.88
λ₃ tau persistence Long-term factor persistence	0.9847	48.06***

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Fujipream Corp MF2-GARCH Volatility Analysis

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