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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0906	11.05***
β GARCH Volatility persistence	0.5351	30.97***
γ leverage Additional response to negative shocks	0.1082	8.52***
λ₁ tau intercept Baseline long-term coefficient	0.0208	0.47
λ₂ forecast adj. Forecast performance sensitivity	0.0080	0.95
λ₃ tau persistence Long-term factor persistence	0.9893	74.33***

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CRA International Inc MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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