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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0915	8.53***
β GARCH Volatility persistence	0.6107	34.16***
γ leverage Additional response to negative shocks	0.1047	5.33***
λ₁ tau intercept Baseline long-term coefficient	0.0425	0.47
λ₂ forecast adj. Forecast performance sensitivity	0.0087	0.84
λ₃ tau persistence Long-term factor persistence	0.9852	44.91***

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Huron Consulting Group Inc MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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