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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0468	17.11***
β GARCH Volatility persistence	0.8478	129.29***
γ leverage Additional response to negative shocks	0.0674	13.84***
λ₁ tau intercept Baseline long-term coefficient	0.0217	4.29***
λ₂ forecast adj. Forecast performance sensitivity	0.0291	4.11***
λ₃ tau persistence Long-term factor persistence	0.9665	120.46***

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Stewart Information Services Corp MF2-GARCH Volatility Analysis

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