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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0420	15.16***
β GARCH Volatility persistence	0.8286	89.68***
γ leverage Additional response to negative shocks	0.0728	15.54***
λ₁ tau intercept Baseline long-term coefficient	0.0166	3.70***
λ₂ forecast adj. Forecast performance sensitivity	0.0357	4.09***
λ₃ tau persistence Long-term factor persistence	0.9598	98.63***

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Bayerische Motoren Werke AG MF2-GARCH Volatility Analysis

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