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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8665	8.09***
α ARCH Response to squared shocks	0.0879	9.17***
β GARCH Volatility persistence	0.8849	74.91***

γ₁	0.0206	1.98**
γ₂	-0.0315	-1.89*
γ₃	0.0330	2.49**
γ₄	-0.0325	-3.49***

V-Lab

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

Date Range:

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