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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	0.0370	8.04***
β GARCH Volatility persistence	0.8283	125.57***
γ leverage Additional response to negative shocks	0.1185	21.75***
λ₁ tau intercept Baseline long-term coefficient	0.0106	5.63***
λ₂ forecast adj. Forecast performance sensitivity	0.0444	5.81***
λ₃ tau persistence Long-term factor persistence	0.9512	115.62***

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