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Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.0595	12.64***
β GARCH Volatility persistence	0.7306	44.01***
γ leverage Additional response to negative shocks	0.0858	6.05***
λ₁ tau intercept Baseline long-term coefficient	0.6397	1.75*
λ₂ forecast adj. Forecast performance sensitivity	0.8353	4.52***
λ₃ tau persistence Long-term factor persistence	0.1180	0.60

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Contextlogic Holdings Inc MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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