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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1110	9.37***
β GARCH Volatility persistence	0.7670	18.74***
γ leverage Additional response to negative shocks	-0.0561	-2.91***
λ₁ tau intercept Baseline long-term coefficient	0.0092	0.38
λ₂ forecast adj. Forecast performance sensitivity	0.0163	1.47
λ₃ tau persistence Long-term factor persistence	0.9837	61.45***

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Zensho Holdings Co Ltd MF2-GARCH Volatility Analysis

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