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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0907	11.06***
β GARCH Volatility persistence	0.5349	30.95***
γ leverage Additional response to negative shocks	0.1077	8.49***
λ₁ tau intercept Baseline long-term coefficient	0.0206	0.47
λ₂ forecast adj. Forecast performance sensitivity	0.0080	0.95
λ₃ tau persistence Long-term factor persistence	0.9893	74.86***

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CRA International Inc MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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