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Parameter	Value	t-statistic
m window Rolling window length	106
α ARCH Response to squared shocks	0.0542	15.63***
β GARCH Volatility persistence	0.8786	124.57***
γ leverage Additional response to negative shocks	0.0488	8.40***
λ₁ tau intercept Baseline long-term coefficient	2.6845	0.01
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.2891	0.00

V-Lab

Akita Bank Ltd MF2-GARCH Volatility Analysis

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