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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.1777	25.78***
β GARCH Volatility persistence	0.6616	59.17***
γ leverage Additional response to negative shocks	0.0155	1.31
λ₁ tau intercept Baseline long-term coefficient	0.0431	1.65*
λ₂ forecast adj. Forecast performance sensitivity	0.0287	2.98***
λ₃ tau persistence Long-term factor persistence	0.9672	82.37***

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Yamada Consulting Group Co MF2-GARCH Volatility Analysis

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