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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0099	1.98**
β GARCH Volatility persistence	0.7935	182.42***
γ leverage Additional response to negative shocks	0.2297	35.00***
λ₁ tau intercept Baseline long-term coefficient	0.0059	2.45**
λ₂ forecast adj. Forecast performance sensitivity	0.0204	3.27***
λ₃ tau persistence Long-term factor persistence	0.9739	111.66***

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Swiss Market Index MF2-GARCH Volatility Analysis

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Volatility Forecast

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