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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0308	10.66***
β GARCH Volatility persistence	0.7853	89.74***
γ leverage Additional response to negative shocks	0.1134	19.50***
λ₁ tau intercept Baseline long-term coefficient	0.0229	1.74*
λ₂ forecast adj. Forecast performance sensitivity	0.0464	2.06**
λ₃ tau persistence Long-term factor persistence	0.9472	38.33***

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International Business Machines Corp MF2-GARCH Volatility Analysis

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Volatility Forecast

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