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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0414	1.55
β GARCH Volatility persistence	0.8607	6.04***
γ leverage Additional response to negative shocks	-0.0101	-0.71
λ₁ tau intercept Baseline long-term coefficient	6.2505	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0215	0.00
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Nexi S.P.A. MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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