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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0246	8.51***
β GARCH Volatility persistence	0.8574	250.26***
γ leverage Additional response to negative shocks	0.1137	27.59***
λ₁ tau intercept Baseline long-term coefficient	0.2760	6.08***
λ₂ forecast adj. Forecast performance sensitivity	0.8487	13.98***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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iShares MSCI Belgium Capped ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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