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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	0.0461	15.17***
β GARCH Volatility persistence	0.7734	91.04***
γ leverage Additional response to negative shocks	0.1100	19.60***
λ₁ tau intercept Baseline long-term coefficient	0.0252	2.62***
λ₂ forecast adj. Forecast performance sensitivity	0.0776	2.71***
λ₃ tau persistence Long-term factor persistence	0.9085	26.44***

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NiSource Inc MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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