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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0121	6.99***
β GARCH Volatility persistence	0.8412	156.38***
γ leverage Additional response to negative shocks	0.1336	31.08***
λ₁ tau intercept Baseline long-term coefficient	0.0240	2.84***
λ₂ forecast adj. Forecast performance sensitivity	0.0675	3.85***
λ₃ tau persistence Long-term factor persistence	0.9254	46.22***

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Home Depot Inc/The MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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