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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8497	237.76***
γ leverage Additional response to negative shocks	0.1850	42.59***
λ₁ tau intercept Baseline long-term coefficient	0.0104	5.41***
λ₂ forecast adj. Forecast performance sensitivity	0.0620	4.40***
λ₃ tau persistence Long-term factor persistence	0.9274	58.14***

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MSCI USA MF2-GARCH Volatility Analysis

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