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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0162	3.93***
β GARCH Volatility persistence	0.8614	291.50***
γ leverage Additional response to negative shocks	0.1335	23.40***
λ₁ tau intercept Baseline long-term coefficient	0.0764	1.41
λ₂ forecast adj. Forecast performance sensitivity	0.3174	1.36
λ₃ tau persistence Long-term factor persistence	0.6363	2.38**

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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