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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0245	8.46***
β GARCH Volatility persistence	0.8571	249.52***
γ leverage Additional response to negative shocks	0.1140	27.60***
λ₁ tau intercept Baseline long-term coefficient	0.2766	6.06***
λ₂ forecast adj. Forecast performance sensitivity	0.8487	13.92***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

iShares MSCI Belgium Capped ETF MF2-GARCH Volatility Analysis

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News Impact Curve

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Parameter Estimates

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