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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	0.8257	165.01***
γ leverage Additional response to negative shocks	0.1745	38.28***
λ₁ tau intercept Baseline long-term coefficient	0.0060	4.85***
λ₂ forecast adj. Forecast performance sensitivity	0.0507	5.80***
λ₃ tau persistence Long-term factor persistence	0.9462	101.94***

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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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