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Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.6131	21.93***
γ leverage Additional response to negative shocks	0.1581	8.84***
λ₁ tau intercept Baseline long-term coefficient	0.5577	0.92
λ₂ forecast adj. Forecast performance sensitivity	0.7014	3.69***
λ₃ tau persistence Long-term factor persistence	0.1922	0.81

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KraneShares Public-Private AI & Technology ETF MF2-GARCH Volatility Analysis

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