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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	96
α ARCH Response to squared shocks	0.1709	22.26***
β GARCH Volatility persistence	0.6943	61.93***
γ leverage Additional response to negative shocks	-0.0043	-0.43
λ₁ tau intercept Baseline long-term coefficient	3.8402	3.52***
λ₂ forecast adj. Forecast performance sensitivity	0.8465	5.47***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Leonardo Drs Inc MF2-GARCH Volatility Analysis

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