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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0000	0.02
β GARCH Volatility persistence	0.5558	19.96***
γ leverage Additional response to negative shocks	0.2059	26.88***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0935	11.78***
λ₃ tau persistence Long-term factor persistence	0.8731	44.29***

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Baron First Principles ETF MF2-GARCH Volatility Analysis

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