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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1955	19.30***
β GARCH Volatility persistence	0.6486	54.09***
γ leverage Additional response to negative shocks	-0.0346	-3.12***
λ₁ tau intercept Baseline long-term coefficient	0.0077	1.92*
λ₂ forecast adj. Forecast performance sensitivity	0.0141	4.48***
λ₃ tau persistence Long-term factor persistence	0.9849	293.81***

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CAR Mate MFG Co Ltd MF2-GARCH Volatility Analysis

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