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{name} Model Equation

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Param	Value	t-stat
mwindow	41
αARCH	0.0419	3.84***
βGARCH	0.8285	34.93***
γleverage	0.0730	4.16***
λ₁tau intercept	0.0164	2.21**
λ₂forecast adj.	0.0349	3.38***
λ₃tau persistence	0.9606	81.33***

Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0419	3.84***
β GARCH Volatility persistence	0.8285	34.93***
γ leverage Additional response to negative shocks	0.0730	4.16***
λ₁ tau intercept Baseline long-term coefficient	0.0164	2.21**
λ₂ forecast adj. Forecast performance sensitivity	0.0349	3.38***
λ₃ tau persistence Long-term factor persistence	0.9606	81.33***

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Bayerische Motoren Werke AG MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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