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{name} Model Equation

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Param	Value	t-stat
mwindow	51
αARCH	0.0000	0.00
βGARCH	0.6333	7.37***
γleverage	0.1471	3.87***
λ₁tau intercept	0.7042	3.75***
λ₂forecast adj.	0.6535	6.85***
λ₃tau persistence	0.1662	1.39

Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.6333	7.37***
γ leverage Additional response to negative shocks	0.1471	3.87***
λ₁ tau intercept Baseline long-term coefficient	0.7042	3.75***
λ₂ forecast adj. Forecast performance sensitivity	0.6535	6.85***
λ₃ tau persistence Long-term factor persistence	0.1662	1.39

V-Lab

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

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