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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8249	163.09***
γ leverage Additional response to negative shocks	0.1742	38.24***
λ₁ tau intercept Baseline long-term coefficient	0.0062	4.82***
λ₂ forecast adj. Forecast performance sensitivity	0.0519	5.88***
λ₃ tau persistence Long-term factor persistence	0.9450	100.68***

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iShares MSCI Canada ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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