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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0874	5.43***
α ARCH Response to squared shocks	0.1081	4.91***
β GARCH Volatility persistence	0.8740	90.87***
γ leverage Additional response to negative shocks	0.0153	0.40

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Nomura Focused Emerging Markets Equity ETF GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nomura Focused Emerging Markets Equity ETF Analyses