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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.2621	74.76***
β GARCH Volatility persistence	0.8349	275.46***
γ leverage Additional response to negative shocks	-0.2621	-75.36***
λ₁ tau intercept Baseline long-term coefficient	10.0000	12.31***
λ₂ forecast adj. Forecast performance sensitivity	0.0653	0.71
λ₃ tau persistence Long-term factor persistence	0.9347	23.44***

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Leverage Shares 2X Long CNC Daily ETF MF2-GARCH Volatility Analysis

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