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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0360	9.25***
β GARCH Volatility persistence	0.8632	257.91***
γ leverage Additional response to negative shocks	0.1218	23.45***
λ₁ tau intercept Baseline long-term coefficient	0.0050	8.50***
λ₂ forecast adj. Forecast performance sensitivity	0.0160	7.00***
λ₃ tau persistence Long-term factor persistence	0.9815	374.61***

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iShares MSCI France ETF MF2-GARCH Volatility Analysis

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Volatility Forecast

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