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{name} Model Equation

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Param	Value	t-stat
mwindow	21
αARCH	0.0296	1.20
βGARCH	0.8092	50.35***
γleverage	0.1374	4.75***
λ₁tau intercept	0.0254	2.17**
λ₂forecast adj.	0.0614	3.50***
λ₃tau persistence	0.9289	45.40***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0296	1.20
β GARCH Volatility persistence	0.8092	50.35***
γ leverage Additional response to negative shocks	0.1374	4.75***
λ₁ tau intercept Baseline long-term coefficient	0.0254	2.17**
λ₂ forecast adj. Forecast performance sensitivity	0.0614	3.50***
λ₃ tau persistence Long-term factor persistence	0.9289	45.40***

V-Lab

iShares MSCI Italy Capped ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Italy Capped ETF Analyses