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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1152	9.34***
β GARCH Volatility persistence	0.7628	18.16***
γ leverage Additional response to negative shocks	-0.0587	-3.09***
λ₁ tau intercept Baseline long-term coefficient	0.0088	0.37
λ₂ forecast adj. Forecast performance sensitivity	0.0154	1.44
λ₃ tau persistence Long-term factor persistence	0.9846	63.03***

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Zensho Holdings Co Ltd MF2-GARCH Volatility Analysis

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