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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.5172	19.36***
γ leverage Additional response to negative shocks	0.2050	9.31***
λ₁ tau intercept Baseline long-term coefficient	0.4797	0.47
λ₂ forecast adj. Forecast performance sensitivity	0.5430	4.04***
λ₃ tau persistence Long-term factor persistence	0.3688	1.03

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

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