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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.6393	11.85***
β GARCH Volatility persistence	0.6105	31.80***
γ leverage Additional response to negative shocks	-0.5000	-6.36***
λ₁ tau intercept Baseline long-term coefficient	10.0000	7.01***
λ₂ forecast adj. Forecast performance sensitivity	0.0863	4.50***
λ₃ tau persistence Long-term factor persistence	0.9137	37.84***

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Calidi Biotherapeutics Inc MF2-GARCH Volatility Analysis

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Volatility Forecast

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