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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	0.0114	3.06***
β GARCH Volatility persistence	0.8528	219.90***
γ leverage Additional response to negative shocks	0.1566	30.10***
λ₁ tau intercept Baseline long-term coefficient	0.0127	6.28***
λ₂ forecast adj. Forecast performance sensitivity	0.0261	6.17***
λ₃ tau persistence Long-term factor persistence	0.9698	197.64***

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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