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Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.1137	14.60***
β GARCH Volatility persistence	0.7377	48.68***
γ leverage Additional response to negative shocks	0.0092	0.82
λ₁ tau intercept Baseline long-term coefficient	7.4138	0.88
λ₂ forecast adj. Forecast performance sensitivity	0.7586	0.99
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Luna Innovations Inc MF2-GARCH Volatility Analysis

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