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Param	Value	t-stat
mwindow	21
αARCH	0.0914	3.93***
βGARCH	0.7745	22.64***
γleverage	0.0714	2.23**
λ₁tau intercept	0.0035	1.06
λ₂forecast adj.	0.0109	1.98**
λ₃tau persistence	0.9874	158.31***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0914	3.93***
β GARCH Volatility persistence	0.7745	22.64***
γ leverage Additional response to negative shocks	0.0714	2.23**
λ₁ tau intercept Baseline long-term coefficient	0.0035	1.06
λ₂ forecast adj. Forecast performance sensitivity	0.0109	1.98**
λ₃ tau persistence Long-term factor persistence	0.9874	158.31***

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Sunlight Real Estate Investment Trust MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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