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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0591	2.13**
β GARCH Volatility persistence	0.7146	23.10***
γ leverage Additional response to negative shocks	0.1012	2.59***
λ₁ tau intercept Baseline long-term coefficient	0.0599	0.91
λ₂ forecast adj. Forecast performance sensitivity	0.3621	0.81
λ₃ tau persistence Long-term factor persistence	0.5397	1.01

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PMV Adaptive Risk Parity ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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