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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.0656	10.61***
β GARCH Volatility persistence	0.8503	88.44***
γ leverage Additional response to negative shocks	0.1047	7.62***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.32
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.2556	0.11

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Landi Renzo SPA MF2-GARCH Volatility Analysis

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