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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	0.0182	0.55
β GARCH Volatility persistence	0.9888	22.17***
γ leverage Additional response to negative shocks	-0.0140	-0.36
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.04
λ₂ forecast adj. Forecast performance sensitivity	0.0056	0.04
λ₃ tau persistence Long-term factor persistence	0.0000	0.02

V-Lab

Eventide International ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Eventide International ETF Analyses