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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	0.8452	266.46***
γ leverage Additional response to negative shocks	0.1807	34.50***
λ₁ tau intercept Baseline long-term coefficient	0.0053	4.60***
λ₂ forecast adj. Forecast performance sensitivity	0.0175	2.65***
λ₃ tau persistence Long-term factor persistence	0.9779	125.32***

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Dow Jones Euro Stoxx Index MF2-GARCH Volatility Analysis

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