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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0878	6.46***
β GARCH Volatility persistence	0.1166	1.79*
γ leverage Additional response to negative shocks	0.1869	4.27***
λ₁ tau intercept Baseline long-term coefficient	4.4359	0.11
λ₂ forecast adj. Forecast performance sensitivity	0.4224	0.11
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Gvs S P A MF2-GARCH Volatility Analysis

Date Range:

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