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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3237	4.82***
α ARCH Response to squared shocks	0.1059	5.81***
β GARCH Volatility persistence	0.8367	42.07***

γ₁	0.0525	1.03
γ₂	-0.1189	-1.61
γ₃	0.1941	4.17***
γ₄	-0.2376	-6.25***
γ₅	0.1263	3.46***
γ₆	0.0003	0.01
γ₇	-0.0073	-0.16
γ₈	-0.0171	-0.52

V-Lab

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

Date Range:

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