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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0497	9.16***
β GARCH Volatility persistence	0.9504	192.81***
γ leverage Additional response to negative shocks	-0.0002	-0.04
λ₁ tau intercept Baseline long-term coefficient	2.3638	3.13***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9977	240.63***

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Contextlogic Holdings Inc MF2-GARCH Volatility Analysis

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Volatility Forecast

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