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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.3579	20.29***
β GARCH Volatility persistence	0.3213	10.61***
γ leverage Additional response to negative shocks	-0.2418	-10.36***
λ₁ tau intercept Baseline long-term coefficient	4.1474	1.74*
λ₂ forecast adj. Forecast performance sensitivity	0.8283	6.38***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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PMV Pharmaceuticals Inc MF2-GARCH Volatility Analysis

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Volatility Forecast

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