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Parameter	Value	t-statistic
m window Rolling window length	121
α ARCH Response to squared shocks	0.2228	10.34***
β GARCH Volatility persistence	0.3650	13.59***
γ leverage Additional response to negative shocks	0.0284	1.05
λ₁ tau intercept Baseline long-term coefficient	5.7061	0.04
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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Nissha Co Ltd MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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