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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0591	5.04***
β GARCH Volatility persistence	0.8177	40.30***
γ leverage Additional response to negative shocks	0.0510	2.27**
λ₁ tau intercept Baseline long-term coefficient	0.0300	0.24
λ₂ forecast adj. Forecast performance sensitivity	0.0040	0.77
λ₃ tau persistence Long-term factor persistence	0.9960	104.39***

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Valbiotis SA MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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