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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8844	276.98***
γ leverage Additional response to negative shocks	0.1323	32.96***
λ₁ tau intercept Baseline long-term coefficient	0.0427	6.56***
λ₂ forecast adj. Forecast performance sensitivity	0.1926	16.12***
λ₃ tau persistence Long-term factor persistence	0.7849	55.35***

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Invesco MSCI Sustainable Future ETF Fund MF2-GARCH Volatility Analysis

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