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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0428	18.06***
β GARCH Volatility persistence	0.8840	126.66***
γ leverage Additional response to negative shocks	0.0483	13.82***
λ₁ tau intercept Baseline long-term coefficient	0.0091	4.65***
λ₂ forecast adj. Forecast performance sensitivity	0.0245	3.37***
λ₃ tau persistence Long-term factor persistence	0.9736	124.70***

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Deutsche Bank AG MF2-GARCH Volatility Analysis

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