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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.5000	75.51***
β GARCH Volatility persistence	0.0263	59.30***
γ leverage Additional response to negative shocks	-0.5000	-77.12***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.01
λ₂ forecast adj. Forecast performance sensitivity	0.0426	14.36***
λ₃ tau persistence Long-term factor persistence	0.8107	155.72***

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Columbia Corporate Bond ETF MF2-GARCH Volatility Analysis

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