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Parameter	Value	t-statistic
m window Rolling window length	96
α ARCH Response to squared shocks	0.1708	22.31***
β GARCH Volatility persistence	0.6949	62.11***
γ leverage Additional response to negative shocks	-0.0050	-0.50
λ₁ tau intercept Baseline long-term coefficient	3.7560	3.62***
λ₂ forecast adj. Forecast performance sensitivity	0.8493	5.75***
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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News Impact Curve

Volatility Forecast

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