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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8562	286.72***
γ leverage Additional response to negative shocks	0.1811	35.31***
λ₁ tau intercept Baseline long-term coefficient	0.0715	1.74*
λ₂ forecast adj. Forecast performance sensitivity	0.3680	1.75*
λ₃ tau persistence Long-term factor persistence	0.5676	2.28**

V-Lab

iShares MSCI ACWI ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI ACWI ETF Analyses