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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.7728	102.63***
γ leverage Additional response to negative shocks	0.2249	32.85***
λ₁ tau intercept Baseline long-term coefficient	0.0203	2.54**
λ₂ forecast adj. Forecast performance sensitivity	0.0951	3.29***
λ₃ tau persistence Long-term factor persistence	0.8889	25.07***

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Deutsche Borse SDAX Performance Index (XETRA) MF2-GARCH Volatility Analysis

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