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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0355	15.01***
β GARCH Volatility persistence	0.8828	159.53***
γ leverage Additional response to negative shocks	0.0657	17.80***
λ₁ tau intercept Baseline long-term coefficient	0.0284	4.62***
λ₂ forecast adj. Forecast performance sensitivity	0.0289	4.03***
λ₃ tau persistence Long-term factor persistence	0.9633	115.44***

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Mercedes-Benz Group AG MF2-GARCH Volatility Analysis

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