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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9730	43.36***
γ leverage Additional response to negative shocks	0.0267	0.58
λ₁ tau intercept Baseline long-term coefficient	0.6941	0.08
λ₂ forecast adj. Forecast performance sensitivity	0.8770	0.11
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Principal Focused Blue Chip ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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