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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0139	3.89***
β GARCH Volatility persistence	0.8558	251.86***
γ leverage Additional response to negative shocks	0.1275	26.24***
λ₁ tau intercept Baseline long-term coefficient	0.1468	2.69***
λ₂ forecast adj. Forecast performance sensitivity	0.3819	2.65***
λ₃ tau persistence Long-term factor persistence	0.5491	3.24***

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iShares MSCI Germany ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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