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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0170	4.02***
β GARCH Volatility persistence	0.8604	286.43***
γ leverage Additional response to negative shocks	0.1309	22.72***
λ₁ tau intercept Baseline long-term coefficient	0.0821	1.28
λ₂ forecast adj. Forecast performance sensitivity	0.3408	1.23
λ₃ tau persistence Long-term factor persistence	0.6099	1.92*

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iShares MSCI United Kingdom ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI United Kingdom ETF Analyses