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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0758	5.36***
β GARCH Volatility persistence	0.4296	12.34***
γ leverage Additional response to negative shocks	0.2673	6.51***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.68
λ₂ forecast adj. Forecast performance sensitivity	0.5966	0.93
λ₃ tau persistence Long-term factor persistence	0.1568	0.15

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QTREX Quantum Ltd MF2-GARCH Volatility Analysis

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Volatility Forecast

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