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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8846	131.44***
γ leverage Additional response to negative shocks	0.1830	27.54***
λ₁ tau intercept Baseline long-term coefficient	0.0154	0.04
λ₂ forecast adj. Forecast performance sensitivity	0.0153	0.04
λ₃ tau persistence Long-term factor persistence	0.5552	0.05

V-Lab

S&P 500 Struct ALT ETF - OCT MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P 500 Struct ALT ETF - OCT Analyses