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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0142	3.93***
β GARCH Volatility persistence	0.8552	249.78***
γ leverage Additional response to negative shocks	0.1271	25.99***
λ₁ tau intercept Baseline long-term coefficient	0.1464	2.66***
λ₂ forecast adj. Forecast performance sensitivity	0.3795	2.61***
λ₃ tau persistence Long-term factor persistence	0.5520	3.24***

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iShares MSCI Germany ETF MF2-GARCH Volatility Analysis

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