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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0203	7.80***
β GARCH Volatility persistence	0.8790	273.31***
γ leverage Additional response to negative shocks	0.1122	26.72***
λ₁ tau intercept Baseline long-term coefficient	0.0131	6.56***
λ₂ forecast adj. Forecast performance sensitivity	0.0347	4.83***
λ₃ tau persistence Long-term factor persistence	0.9606	120.94***

V-Lab

iShares MSCI Sweden Capped ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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