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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	0.0398	2.71***
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.2504	3.45***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.1097	1.48
λ₃ tau persistence Long-term factor persistence	0.8758	8.34***

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Samhallsbygg I Nor MF2-GARCH Volatility Analysis

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