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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0448	14.99***
β GARCH Volatility persistence	0.8351	157.75***
γ leverage Additional response to negative shocks	0.1056	19.75***
λ₁ tau intercept Baseline long-term coefficient	0.0063	7.42***
λ₂ forecast adj. Forecast performance sensitivity	0.0362	7.36***
λ₃ tau persistence Long-term factor persistence	0.9606	183.08***

V-Lab

iShares MSCI Japan ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Japan ETF Analyses