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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0005	3.38***
β GARCH Volatility persistence	0.9506	94.86***
γ leverage Additional response to negative shocks	0.0558	7.27***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0001	0.13
λ₃ tau persistence Long-term factor persistence	0.6169	88.42***

V-Lab

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

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