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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0902	21.14***
β GARCH Volatility persistence	0.8437	192.36***
γ leverage Additional response to negative shocks	0.0980	14.92***
λ₁ tau intercept Baseline long-term coefficient	8.2942	1.61
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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SAP SE MF2-GARCH Volatility Analysis

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Volatility Forecast

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