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{name} Model Equation

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Param	Value	t-stat
ωconst	1.3157	4.75***
αARCH	0.1074	5.92***
βGARCH	0.8350	42.14***

γ₁	0.0477	0.94
γ₂	-0.1102	-1.50
γ₃	0.1871	4.03***
γ₄	-0.2350	-6.22***
γ₅	0.1287	3.63***
γ₆	-0.0005	-0.01
γ₇	-0.0131	-0.30
γ₈	-0.0100	-0.31

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3157	4.75***
α ARCH Response to squared shocks	0.1074	5.92***
β GARCH Volatility persistence	0.8350	42.14***

γ₁	0.0477	0.94
γ₂	-0.1102	-1.50
γ₃	0.1871	4.03***
γ₄	-0.2350	-6.22***
γ₅	0.1287	3.63***
γ₆	-0.0005	-0.01
γ₇	-0.0131	-0.30
γ₈	-0.0100	-0.31

V-Lab

iShares MSCI Spain Capped ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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