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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0430	10.05***
β GARCH Volatility persistence	0.7113	55.67***
γ leverage Additional response to negative shocks	0.0900	17.19***
λ₁ tau intercept Baseline long-term coefficient	0.3214	1.32
λ₂ forecast adj. Forecast performance sensitivity	1.0000	4.19***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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AES Corp/VA MF2-GARCH Volatility Analysis

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