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Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.0742	13.63***
β GARCH Volatility persistence	0.6573	33.17***
γ leverage Additional response to negative shocks	0.0462	5.65***
λ₁ tau intercept Baseline long-term coefficient	1.7165	0.30
λ₂ forecast adj. Forecast performance sensitivity	0.3486	0.33
λ₃ tau persistence Long-term factor persistence	0.4046	0.21

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Grupo Carso Sab De Cv MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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