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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0408	15.12***
β GARCH Volatility persistence	0.8283	136.63***
γ leverage Additional response to negative shocks	0.0795	12.73***
λ₁ tau intercept Baseline long-term coefficient	0.0050	1.91*
λ₂ forecast adj. Forecast performance sensitivity	0.0073	4.06***
λ₃ tau persistence Long-term factor persistence	0.9917	478.18***

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Exponent Inc MF2-GARCH Volatility Analysis

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Volatility Forecast

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