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Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.1578	19.82***
β GARCH Volatility persistence	0.4973	21.79***
γ leverage Additional response to negative shocks	0.0557	4.77***
λ₁ tau intercept Baseline long-term coefficient	0.2862	0.71
λ₂ forecast adj. Forecast performance sensitivity	0.2945	0.73
λ₃ tau persistence Long-term factor persistence	0.6297	1.22

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ABM Industries Inc MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other ABM Industries Inc Analyses