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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0553	27.03***
β GARCH Volatility persistence	0.8932	237.16***
γ leverage Additional response to negative shocks	0.0323	9.65***
λ₁ tau intercept Baseline long-term coefficient	0.1411	4.54***
λ₂ forecast adj. Forecast performance sensitivity	0.0472	3.98***
λ₃ tau persistence Long-term factor persistence	0.9439	67.34***

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Hovnanian Enterprises Inc MF2-GARCH Volatility Analysis

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