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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	0.0280	12.54***
β GARCH Volatility persistence	0.7935	83.08***
γ leverage Additional response to negative shocks	0.1123	23.69***
λ₁ tau intercept Baseline long-term coefficient	0.0295	1.92*
λ₂ forecast adj. Forecast performance sensitivity	0.1003	2.18**
λ₃ tau persistence Long-term factor persistence	0.8819	16.31***

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Procter & Gamble Co/The MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Procter & Gamble Co/The Analyses