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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0000	0.01
β GARCH Volatility persistence	0.7474	84.59***
γ leverage Additional response to negative shocks	0.3175	33.67***
λ₁ tau intercept Baseline long-term coefficient	0.0119	3.54***
λ₂ forecast adj. Forecast performance sensitivity	0.0490	4.92***
λ₃ tau persistence Long-term factor persistence	0.9411	75.26***

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Doubleline Shiller Cape US Equities ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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