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Parameter	Value	t-statistic
m window Rolling window length	111
α ARCH Response to squared shocks	0.0884	8.26***
β GARCH Volatility persistence	0.5033	9.53***
γ leverage Additional response to negative shocks	0.0737	3.83***
λ₁ tau intercept Baseline long-term coefficient	3.8183	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Kyoritsu Maintenance Co Ltd MF2-GARCH Volatility Analysis

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