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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	0.71
β GARCH Volatility persistence	0.9427	354.79***
γ leverage Additional response to negative shocks	0.0598	19.83***
λ₁ tau intercept Baseline long-term coefficient	0.0090	3.52***
λ₂ forecast adj. Forecast performance sensitivity	0.0096	3.99***
λ₃ tau persistence Long-term factor persistence	0.9883	335.83***

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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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