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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	0.8635	8.55***
γ leverage Additional response to negative shocks	0.0431	1.77*
λ₁ tau intercept Baseline long-term coefficient	0.5581	0.19
λ₂ forecast adj. Forecast performance sensitivity	0.4573	0.35
λ₃ tau persistence Long-term factor persistence	0.5015	0.31

V-Lab

Nomura Focused Emerging Markets Equity ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nomura Focused Emerging Markets Equity ETF Analyses