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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.0330	15.08***
β GARCH Volatility persistence	0.8673	175.42***
γ leverage Additional response to negative shocks	0.0983	20.93***
λ₁ tau intercept Baseline long-term coefficient	0.0014	4.99***
λ₂ forecast adj. Forecast performance sensitivity	0.0115	8.21***
λ₃ tau persistence Long-term factor persistence	0.9878	662.49***

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Johnson & Johnson MF2-GARCH Volatility Analysis

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Volatility Forecast

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