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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.0427	1.89*
β GARCH Volatility persistence	0.5103	2,288.29***
γ leverage Additional response to negative shocks	-0.0425	-1.89*
λ₁ tau intercept Baseline long-term coefficient	0.0000	1.00
λ₂ forecast adj. Forecast performance sensitivity	0.0003	1.81*
λ₃ tau persistence Long-term factor persistence	0.0683	7.00***

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Simplify US Equity PLUS Managed Futures Strategy ETF MF2-GARCH Volatility Analysis

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