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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0531	16.25***
β GARCH Volatility persistence	0.8293	110.72***
γ leverage Additional response to negative shocks	0.0679	12.05***
λ₁ tau intercept Baseline long-term coefficient	0.0155	2.61***
λ₂ forecast adj. Forecast performance sensitivity	0.0362	3.53***
λ₃ tau persistence Long-term factor persistence	0.9620	85.53***

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ThyssenKrupp AG MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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