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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.1000	18.24***
β GARCH Volatility persistence	0.6509	43.29***
γ leverage Additional response to negative shocks	0.0753	9.09***
λ₁ tau intercept Baseline long-term coefficient	0.0099	1.40
λ₂ forecast adj. Forecast performance sensitivity	0.0324	5.30***
λ₃ tau persistence Long-term factor persistence	0.9676	138.74***

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MBIA Inc MF2-GARCH Volatility Analysis

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Volatility Forecast

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