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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.4464	43.06***
β GARCH Volatility persistence	0.0380	28.28***
γ leverage Additional response to negative shocks	-0.4464	-44.51***
λ₁ tau intercept Baseline long-term coefficient	0.0136	1.51
λ₂ forecast adj. Forecast performance sensitivity	0.1698	6.58***
λ₃ tau persistence Long-term factor persistence	0.8302	46.58***

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CoastalSouth Bancshares Inc MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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