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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.4032	9.47***
β GARCH Volatility persistence	0.0220	1.69*
γ leverage Additional response to negative shocks	-0.3676	-9.10***
λ₁ tau intercept Baseline long-term coefficient	6.9548	0.46
λ₂ forecast adj. Forecast performance sensitivity	0.6444	0.94
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Inventiva SA MF2-GARCH Volatility Analysis

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Volatility Forecast

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