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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0409	13.38***
β GARCH Volatility persistence	0.7440	49.90***
γ leverage Additional response to negative shocks	0.0686	9.18***
λ₁ tau intercept Baseline long-term coefficient	0.1761	0.71
λ₂ forecast adj. Forecast performance sensitivity	0.0976	0.83
λ₃ tau persistence Long-term factor persistence	0.8712	5.35***

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HP Inc MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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