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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0271	8.99***
β GARCH Volatility persistence	0.8193	108.95***
γ leverage Additional response to negative shocks	0.1244	23.76***
λ₁ tau intercept Baseline long-term coefficient	0.0095	4.41***
λ₂ forecast adj. Forecast performance sensitivity	0.0425	5.10***
λ₃ tau persistence Long-term factor persistence	0.9543	107.54***

V-Lab

iShares MSCI Taiwan Capped ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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