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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.2741	8.28***
β GARCH Volatility persistence	0.3397	6.61***
γ leverage Additional response to negative shocks	-0.1947	-7.10***
λ₁ tau intercept Baseline long-term coefficient	2.3434	0.12
λ₂ forecast adj. Forecast performance sensitivity	0.5727	0.12
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Atmus Filtration Technls Inc MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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