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{name} Model Equation

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Param	Value	t-stat
mwindow	81
αARCH	0.1670	5.67***
βGARCH	0.5133	6.14***
γleverage	-0.0222	-0.54
λ₁tau intercept	0.1921	1.53
λ₂forecast adj.	0.0971	1.95*
λ₃tau persistence	0.8819	14.22***

Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.1670	5.67***
β GARCH Volatility persistence	0.5133	6.14***
γ leverage Additional response to negative shocks	-0.0222	-0.54
λ₁ tau intercept Baseline long-term coefficient	0.1921	1.53
λ₂ forecast adj. Forecast performance sensitivity	0.0971	1.95*
λ₃ tau persistence Long-term factor persistence	0.8819	14.22***

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Daito Chemix Corp MF2-GARCH Volatility Analysis

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