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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.0112	3.03***
β GARCH Volatility persistence	0.8534	222.71***
γ leverage Additional response to negative shocks	0.1575	30.46***
λ₁ tau intercept Baseline long-term coefficient	0.0122	6.35***
λ₂ forecast adj. Forecast performance sensitivity	0.0254	6.27***
λ₃ tau persistence Long-term factor persistence	0.9706	206.03***

V-Lab

iShares MSCI Mexico Capped ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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