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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8389	224.66***
γ leverage Additional response to negative shocks	0.1931	41.45***
λ₁ tau intercept Baseline long-term coefficient	0.0111	5.12***
λ₂ forecast adj. Forecast performance sensitivity	0.0697	4.30***
λ₃ tau persistence Long-term factor persistence	0.9198	50.74***

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S&P 100 Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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