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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0246	5.28***
β GARCH Volatility persistence	0.8540	134.43***
γ leverage Additional response to negative shocks	0.1074	19.00***
λ₁ tau intercept Baseline long-term coefficient	0.0103	6.44***
λ₂ forecast adj. Forecast performance sensitivity	0.0281	3.73***
λ₃ tau persistence Long-term factor persistence	0.9670	118.11***

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Hong Kong Hang Seng Index MF2-GARCH Volatility Analysis

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