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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.3689	25.81***
β GARCH Volatility persistence	0.5387	45.75***
γ leverage Additional response to negative shocks	-0.1973	-11.83***
λ₁ tau intercept Baseline long-term coefficient	0.0065	0.52
λ₂ forecast adj. Forecast performance sensitivity	0.0051	2.87***
λ₃ tau persistence Long-term factor persistence	0.9943	439.94***

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Nj Holdings Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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