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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0418	15.21***
β GARCH Volatility persistence	0.8294	90.93***
γ leverage Additional response to negative shocks	0.0730	15.65***
λ₁ tau intercept Baseline long-term coefficient	0.0166	3.76***
λ₂ forecast adj. Forecast performance sensitivity	0.0349	4.12***
λ₃ tau persistence Long-term factor persistence	0.9605	101.31***

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Bayerische Motoren Werke AG MF2-GARCH Volatility Analysis

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News Impact Curve

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