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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0200	7.73***
β GARCH Volatility persistence	0.8796	275.21***
γ leverage Additional response to negative shocks	0.1128	26.85***
λ₁ tau intercept Baseline long-term coefficient	0.0125	6.60***
λ₂ forecast adj. Forecast performance sensitivity	0.0337	4.85***
λ₃ tau persistence Long-term factor persistence	0.9618	125.12***

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iShares MSCI Sweden Capped ETF MF2-GARCH Volatility Analysis

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News Impact Curve

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