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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8393	222.09***
γ leverage Additional response to negative shocks	0.1972	44.67***
λ₁ tau intercept Baseline long-term coefficient	0.0108	5.67***
λ₂ forecast adj. Forecast performance sensitivity	0.0633	4.43***
λ₃ tau persistence Long-term factor persistence	0.9260	57.51***

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S&P 500 Index MF2-GARCH Volatility Analysis

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