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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0342	14.34***
α ARCH Response to squared shocks	0.0216	4.32***
β GARCH Volatility persistence	0.8369	173.88***
γ leverage Additional response to negative shocks	0.2501	20.99***

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Doubleline Shiller Cape US Equities ETF GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Doubleline Shiller Cape US Equities ETF Analyses