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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.0537	22.08***
β GARCH Volatility persistence	0.8239	140.78***
γ leverage Additional response to negative shocks	0.1029	24.10***
λ₁ tau intercept Baseline long-term coefficient	0.0354	6.69***
λ₂ forecast adj. Forecast performance sensitivity	0.0338	6.33***
λ₃ tau persistence Long-term factor persistence	0.9579	150.57***

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HeidelbergCement AG MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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