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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0153	8.69***
β GARCH Volatility persistence	0.9481	330.13***
γ leverage Additional response to negative shocks	0.0575	15.72***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.2720	0.00

V-Lab

Everforth Inc MF2-GARCH Volatility Analysis

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Volatility Forecast

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