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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	4.64***
β GARCH Volatility persistence	0.8081	127.82***
γ leverage Additional response to negative shocks	0.1364	14.40***
λ₁ tau intercept Baseline long-term coefficient	0.0258	4.98***
λ₂ forecast adj. Forecast performance sensitivity	0.0622	4.82***
λ₃ tau persistence Long-term factor persistence	0.9281	66.36***

V-Lab

iShares MSCI Italy Capped ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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