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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.1778	25.78***
β GARCH Volatility persistence	0.6613	59.01***
γ leverage Additional response to negative shocks	0.0154	1.30
λ₁ tau intercept Baseline long-term coefficient	0.0475	1.67*
λ₂ forecast adj. Forecast performance sensitivity	0.0290	2.92***
λ₃ tau persistence Long-term factor persistence	0.9664	78.67***

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Yamada Consulting Group Co MF2-GARCH Volatility Analysis

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