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Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.0265	7.20***
β GARCH Volatility persistence	0.8764	250.84***
γ leverage Additional response to negative shocks	0.1132	22.87***
λ₁ tau intercept Baseline long-term coefficient	0.0021	7.76***
λ₂ forecast adj. Forecast performance sensitivity	0.0134	7.45***
λ₃ tau persistence Long-term factor persistence	0.9851	498.27***

V-Lab

iShares MSCI Switzerland Capped ETF MF2-GARCH Volatility Analysis

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News Impact Curve

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Parameter Estimates

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