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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8546	254.96***
γ leverage Additional response to negative shocks	0.1902	47.51***
λ₁ tau intercept Baseline long-term coefficient	0.0207	7.37***
λ₂ forecast adj. Forecast performance sensitivity	0.0995	8.92***
λ₃ tau persistence Long-term factor persistence	0.8791	64.50***

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Russell 1000 Value Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Russell 1000 Value Index Analyses