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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0406	10.07***
β GARCH Volatility persistence	0.7244	58.58***
γ leverage Additional response to negative shocks	0.0876	17.54***
λ₁ tau intercept Baseline long-term coefficient	0.2861	1.33
λ₂ forecast adj. Forecast performance sensitivity	1.0000	5.48***
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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