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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	0.3830	10.24***
β GARCH Volatility persistence	0.2956	5.89***
γ leverage Additional response to negative shocks	-0.0859	-1.49
λ₁ tau intercept Baseline long-term coefficient	0.3305	0.71
λ₂ forecast adj. Forecast performance sensitivity	0.5697	1.12
λ₃ tau persistence Long-term factor persistence	0.3988	0.64

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Principal Focused Blue Chip ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Principal Focused Blue Chip ETF Analyses