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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	0.0285	12.71***
β GARCH Volatility persistence	0.7940	83.17***
γ leverage Additional response to negative shocks	0.1119	23.59***
λ₁ tau intercept Baseline long-term coefficient	0.0292	1.95*
λ₂ forecast adj. Forecast performance sensitivity	0.0982	2.19**
λ₃ tau persistence Long-term factor persistence	0.8840	16.74***

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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