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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1314	9.43***
β GARCH Volatility persistence	0.3218	6.66***
γ leverage Additional response to negative shocks	0.0178	1.28
λ₁ tau intercept Baseline long-term coefficient	5.6775	0.60
λ₂ forecast adj. Forecast performance sensitivity	0.7413	0.68
λ₃ tau persistence Long-term factor persistence	0.1558	0.13

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Luna Innovations Inc MF2-GARCH Volatility Analysis

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