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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	0.8387	224.44***
γ leverage Additional response to negative shocks	0.1932	41.47***
λ₁ tau intercept Baseline long-term coefficient	0.0111	5.12***
λ₂ forecast adj. Forecast performance sensitivity	0.0695	4.30***
λ₃ tau persistence Long-term factor persistence	0.9200	50.87***

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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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