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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0243	8.76***
β GARCH Volatility persistence	0.8658	194.97***
γ leverage Additional response to negative shocks	0.1276	25.63***
λ₁ tau intercept Baseline long-term coefficient	0.0118	7.59***
λ₂ forecast adj. Forecast performance sensitivity	0.0601	6.24***
λ₃ tau persistence Long-term factor persistence	0.9348	91.03***

V-Lab

iShares MSCI Singapore Capped ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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