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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0974	15.60***
β GARCH Volatility persistence	0.8301	115.26***
γ leverage Additional response to negative shocks	0.0494	5.42***
λ₁ tau intercept Baseline long-term coefficient	0.0425	3.24***
λ₂ forecast adj. Forecast performance sensitivity	0.0617	8.68***
λ₃ tau persistence Long-term factor persistence	0.9361	129.57***

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Centiel AG MF2-GARCH Volatility Analysis

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