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{name} Model Equation

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Param	Value	t-stat
mwindow	81
αARCH	0.0244	1.87*
βGARCH	0.8579	64.01***
γleverage	0.1134	6.52***
λ₁tau intercept	0.2752	2.80***
λ₂forecast adj.	0.8483	10.82***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0244	1.87*
β GARCH Volatility persistence	0.8579	64.01***
γ leverage Additional response to negative shocks	0.1134	6.52***
λ₁ tau intercept Baseline long-term coefficient	0.2752	2.80***
λ₂ forecast adj. Forecast performance sensitivity	0.8483	10.82***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

iShares MSCI Belgium Capped ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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