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Param	Value	t-stat
mwindow	66
αARCH	0.1769	6.18***
βGARCH	0.6623	18.40***
γleverage	0.0160	0.39
λ₁tau intercept	0.0413	0.98
λ₂forecast adj.	0.0286	1.47
λ₃tau persistence	0.9675	42.97***

Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.1769	6.18***
β GARCH Volatility persistence	0.6623	18.40***
γ leverage Additional response to negative shocks	0.0160	0.39
λ₁ tau intercept Baseline long-term coefficient	0.0413	0.98
λ₂ forecast adj. Forecast performance sensitivity	0.0286	1.47
λ₃ tau persistence Long-term factor persistence	0.9675	42.97***

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Yamada Consulting Group Co MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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