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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.8968	102.46***
β GARCH Volatility persistence	0.0000	0.09
γ leverage Additional response to negative shocks	-0.3757	-29.16***
λ₁ tau intercept Baseline long-term coefficient	0.3199	25.66***
λ₂ forecast adj. Forecast performance sensitivity	0.6073	30.88***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Ctac NV MF2-GARCH Volatility Analysis

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Volatility Forecast

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