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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	101
α ARCH Response to squared shocks	0.1018	26.36***
β GARCH Volatility persistence	0.7838	176.73***
γ leverage Additional response to negative shocks	0.1821	29.14***
λ₁ tau intercept Baseline long-term coefficient	0.0014	3.64***
λ₂ forecast adj. Forecast performance sensitivity	0.0519	3.17***
λ₃ tau persistence Long-term factor persistence	0.9340	43.80***

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ICE BofA BB US High Yield Index MF2-GARCH Volatility Analysis

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