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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0009	0.72
β GARCH Volatility persistence	0.9427	353.21***
γ leverage Additional response to negative shocks	0.0599	19.73***
λ₁ tau intercept Baseline long-term coefficient	0.0089	3.50***
λ₂ forecast adj. Forecast performance sensitivity	0.0096	3.93***
λ₃ tau persistence Long-term factor persistence	0.9884	332.00***

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Caterpillar Inc MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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