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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.3424	55.26***
β GARCH Volatility persistence	0.0113	26.08***
γ leverage Additional response to negative shocks	0.3055	25.14***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.9590	27.69***
λ₃ tau persistence Long-term factor persistence	0.0000	0.04

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Horizon Kinetics JPN QWN OPR MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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