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Param	Value	t-stat
mwindow	31
αARCH	0.1335	3.87***
βGARCH	0.8174	18.53***
γleverage	-0.0124	-0.21
λ₁tau intercept	0.0120	0.48
λ₂forecast adj.	0.0164	1.52
λ₃tau persistence	0.9836	80.87***

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.1335	3.87***
β GARCH Volatility persistence	0.8174	18.53***
γ leverage Additional response to negative shocks	-0.0124	-0.21
λ₁ tau intercept Baseline long-term coefficient	0.0120	0.48
λ₂ forecast adj. Forecast performance sensitivity	0.0164	1.52
λ₃ tau persistence Long-term factor persistence	0.9836	80.87***

V-Lab

BlockFin Holdings Ltd MF2-GARCH Volatility Analysis

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