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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.0590	10.16***
β GARCH Volatility persistence	0.5399	22.94***
γ leverage Additional response to negative shocks	0.1220	9.33***
λ₁ tau intercept Baseline long-term coefficient	0.2151	0.13
λ₂ forecast adj. Forecast performance sensitivity	0.0114	0.30
λ₃ tau persistence Long-term factor persistence	0.9459	2.80***

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Goodtech ASA MF2-GARCH Volatility Analysis

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Volatility Forecast

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