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Param	Value	t-stat
mwindow	21
αARCH	0.1166	4.74***
βGARCH	0.6569	17.01***
γleverage	0.0888	2.21**
λ₁tau intercept	0.0156	2.19**
λ₂forecast adj.	0.0271	5.14***
λ₃tau persistence	0.9712	177.94***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1166	4.74***
β GARCH Volatility persistence	0.6569	17.01***
γ leverage Additional response to negative shocks	0.0888	2.21**
λ₁ tau intercept Baseline long-term coefficient	0.0156	2.19**
λ₂ forecast adj. Forecast performance sensitivity	0.0271	5.14***
λ₃ tau persistence Long-term factor persistence	0.9712	177.94***

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Matsuda Sangyo Co Ltd MF2-GARCH Volatility Analysis

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