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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0032	0.91
β GARCH Volatility persistence	0.7824	85.51***
γ leverage Additional response to negative shocks	0.1785	24.90***
λ₁ tau intercept Baseline long-term coefficient	0.0157	3.75***
λ₂ forecast adj. Forecast performance sensitivity	0.0479	5.00***
λ₃ tau persistence Long-term factor persistence	0.9450	85.56***

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iShares MSCI Australia ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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