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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	116
α ARCH Response to squared shocks	0.0000	0.01
β GARCH Volatility persistence	0.9235	243.16***
γ leverage Additional response to negative shocks	0.0723	23.86***
λ₁ tau intercept Baseline long-term coefficient	0.0572	2.00**
λ₂ forecast adj. Forecast performance sensitivity	0.0457	2.33**
λ₃ tau persistence Long-term factor persistence	0.9396	35.69***

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Capgemini Se MF2-GARCH Volatility Analysis

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