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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0491	14.25***
β GARCH Volatility persistence	0.7827	129.40***
γ leverage Additional response to negative shocks	0.1402	20.64***
λ₁ tau intercept Baseline long-term coefficient	0.0096	3.54***
λ₂ forecast adj. Forecast performance sensitivity	0.0158	4.68***
λ₃ tau persistence Long-term factor persistence	0.9823	242.67***

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SAP SE MF2-GARCH Volatility Analysis

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