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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.3474	22.17***
β GARCH Volatility persistence	0.5699	45.12***
γ leverage Additional response to negative shocks	-0.0813	-2.54**
λ₁ tau intercept Baseline long-term coefficient	0.0128	1.79*
λ₂ forecast adj. Forecast performance sensitivity	0.0154	6.31***
λ₃ tau persistence Long-term factor persistence	0.9844	336.09***

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Ito Yogyo Co Ltd MF2-GARCH Volatility Analysis

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