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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.0258	7.04***
β GARCH Volatility persistence	0.8771	252.76***
γ leverage Additional response to negative shocks	0.1136	22.94***
λ₁ tau intercept Baseline long-term coefficient	0.0021	7.70***
λ₂ forecast adj. Forecast performance sensitivity	0.0132	7.42***
λ₃ tau persistence Long-term factor persistence	0.9852	501.40***

V-Lab

iShares MSCI Switzerland Capped ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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