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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.1659	8.79***
β GARCH Volatility persistence	0.7720	14.67***
γ leverage Additional response to negative shocks	0.0400	1.20
λ₁ tau intercept Baseline long-term coefficient	1.2628	0.68
λ₂ forecast adj. Forecast performance sensitivity	0.2675	0.24
λ₃ tau persistence Long-term factor persistence	0.7325	0.67

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System1 Inc MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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