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{name} Model Equation

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Param	Value	t-stat
mwindow	21
αARCH	0.1007	3.63***
βGARCH	0.6097	12.04***
γleverage	0.1538	2.54**
λ₁tau intercept	0.0223	1.71*
λ₂forecast adj.	0.0364	4.13***
λ₃tau persistence	0.9578	78.56***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1007	3.63***
β GARCH Volatility persistence	0.6097	12.04***
γ leverage Additional response to negative shocks	0.1538	2.54**
λ₁ tau intercept Baseline long-term coefficient	0.0223	1.71*
λ₂ forecast adj. Forecast performance sensitivity	0.0364	4.13***
λ₃ tau persistence Long-term factor persistence	0.9578	78.56***

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Japan Hotel Reit Invt Corp MF2-GARCH Volatility Analysis

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