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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	0.0136	3.64***
β GARCH Volatility persistence	0.8209	114.21***
γ leverage Additional response to negative shocks	0.1165	22.83***
λ₁ tau intercept Baseline long-term coefficient	0.2369	1.46
λ₂ forecast adj. Forecast performance sensitivity	0.3970	1.90*
λ₃ tau persistence Long-term factor persistence	0.4760	1.61

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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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