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Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.0142	6.07***
β GARCH Volatility persistence	0.7973	77.21***
γ leverage Additional response to negative shocks	0.1432	21.71***
λ₁ tau intercept Baseline long-term coefficient	0.0233	1.33
λ₂ forecast adj. Forecast performance sensitivity	0.0233	1.61
λ₃ tau persistence Long-term factor persistence	0.9629	39.99***

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Mondelez International Inc MF2-GARCH Volatility Analysis

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