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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0121	3.38***
β GARCH Volatility persistence	0.8238	112.23***
γ leverage Additional response to negative shocks	0.1148	22.97***
λ₁ tau intercept Baseline long-term coefficient	0.3185	1.91*
λ₂ forecast adj. Forecast performance sensitivity	0.5203	2.75***
λ₃ tau persistence Long-term factor persistence	0.3102	1.13

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iShares MSCI BIC ETF Fund MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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