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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0297	4.63***
β GARCH Volatility persistence	0.8081	127.84***
γ leverage Additional response to negative shocks	0.1367	14.43***
λ₁ tau intercept Baseline long-term coefficient	0.0259	4.98***
λ₂ forecast adj. Forecast performance sensitivity	0.0625	4.82***
λ₃ tau persistence Long-term factor persistence	0.9277	65.87***

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iShares MSCI Italy Capped ETF MF2-GARCH Volatility Analysis

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News Impact Curve

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