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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	0.0383	10.75***
β GARCH Volatility persistence	0.7177	61.06***
γ leverage Additional response to negative shocks	0.1083	18.91***
λ₁ tau intercept Baseline long-term coefficient	0.7140	0.24
λ₂ forecast adj. Forecast performance sensitivity	0.8014	0.23
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Fresenius SE & Co KGaA MF2-GARCH Volatility Analysis

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Volatility Forecast

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