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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0006	0.30
β GARCH Volatility persistence	0.8767	334.63***
γ leverage Additional response to negative shocks	0.1357	37.95***
λ₁ tau intercept Baseline long-term coefficient	0.1120	2.63***
λ₂ forecast adj. Forecast performance sensitivity	0.3675	3.16***
λ₃ tau persistence Long-term factor persistence	0.5789	4.22***

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iShares MSCI Netherlands ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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