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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.1087	10.41***
β GARCH Volatility persistence	0.7377	45.63***
γ leverage Additional response to negative shocks	0.0265	2.76***
λ₁ tau intercept Baseline long-term coefficient	0.0222	1.70*
λ₂ forecast adj. Forecast performance sensitivity	0.0356	4.83***
λ₃ tau persistence Long-term factor persistence	0.9644	108.99***

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Hallmark Financial Services Inc MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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