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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	0.0293	4.60***
β GARCH Volatility persistence	0.8082	129.34***
γ leverage Additional response to negative shocks	0.1382	14.60***
λ₁ tau intercept Baseline long-term coefficient	0.0257	5.01***
λ₂ forecast adj. Forecast performance sensitivity	0.0626	4.86***
λ₃ tau persistence Long-term factor persistence	0.9276	66.30***

V-Lab

iShares MSCI Italy Capped ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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