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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0011	0.57
β GARCH Volatility persistence	0.8756	332.31***
γ leverage Additional response to negative shocks	0.1362	37.82***
λ₁ tau intercept Baseline long-term coefficient	0.1082	2.72***
λ₂ forecast adj. Forecast performance sensitivity	0.3520	3.32***
λ₃ tau persistence Long-term factor persistence	0.5963	4.75***

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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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