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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0366	7.93***
β GARCH Volatility persistence	0.8286	124.96***
γ leverage Additional response to negative shocks	0.1177	21.61***
λ₁ tau intercept Baseline long-term coefficient	0.0110	5.55***
λ₂ forecast adj. Forecast performance sensitivity	0.0458	5.72***
λ₃ tau persistence Long-term factor persistence	0.9496	110.23***

V-Lab

iShares MSCI Hong Kong ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Hong Kong ETF Analyses