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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2143	16.25***
β GARCH Volatility persistence	0.6749	47.05***
γ leverage Additional response to negative shocks	-0.0427	-2.14**
λ₁ tau intercept Baseline long-term coefficient	0.0054	1.35
λ₂ forecast adj. Forecast performance sensitivity	0.0086	2.84***
λ₃ tau persistence Long-term factor persistence	0.9908	271.38***

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Daito Koun Co Ltd MF2-GARCH Volatility Analysis

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