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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0212	8.76***
β GARCH Volatility persistence	0.8205	60.35***
γ leverage Additional response to negative shocks	0.0879	15.25***
λ₁ tau intercept Baseline long-term coefficient	0.0304	1.33
λ₂ forecast adj. Forecast performance sensitivity	0.0663	1.50
λ₃ tau persistence Long-term factor persistence	0.9211	17.26***

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Wal-Mart Stores Inc MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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