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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.1320	14.10***
β GARCH Volatility persistence	0.8189	60.37***
γ leverage Additional response to negative shocks	-0.0112	-0.83
λ₁ tau intercept Baseline long-term coefficient	0.0119	1.79*
λ₂ forecast adj. Forecast performance sensitivity	0.0162	5.08***
λ₃ tau persistence Long-term factor persistence	0.9838	257.07***

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BlockFin Holdings Ltd MF2-GARCH Volatility Analysis

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