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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0355	9.16***
β GARCH Volatility persistence	0.8640	263.10***
γ leverage Additional response to negative shocks	0.1227	23.73***
λ₁ tau intercept Baseline long-term coefficient	0.0046	8.64***
λ₂ forecast adj. Forecast performance sensitivity	0.0153	7.25***
λ₃ tau persistence Long-term factor persistence	0.9824	407.28***

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iShares MSCI France ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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