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{name} Model Equation

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Param	Value	t-stat
mwindow	101
αARCH	0.0386	2.11**
βGARCH	0.8664	67.82***
γleverage	0.1043	5.82***
λ₁tau intercept	0.0090	1.16
λ₂forecast adj.	0.0188	1.80*
λ₃tau persistence	0.9774	77.30***

Parameter	Value	t-statistic
m window Rolling window length	101
α ARCH Response to squared shocks	0.0386	2.11**
β GARCH Volatility persistence	0.8664	67.82***
γ leverage Additional response to negative shocks	0.1043	5.82***
λ₁ tau intercept Baseline long-term coefficient	0.0090	1.16
λ₂ forecast adj. Forecast performance sensitivity	0.0188	1.80*
λ₃ tau persistence Long-term factor persistence	0.9774	77.30***

V-Lab

iShares MSCI Spain Capped ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Spain Capped ETF Analyses