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{name} Model Equation

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Param	Value	t-stat
ωconst	0.7999	5.50***
αARCH	0.1047	7.02***
βGARCH	0.8438	47.94***

γ₁	-0.1080	-4.48***
γ₂	0.1677	4.93***
γ₃	-0.1053	-4.94***
γ₄	0.0845	4.34***
γ₅	-0.0503	-2.72***
γ₆	0.0100	0.62

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7999	5.50***
α ARCH Response to squared shocks	0.1047	7.02***
β GARCH Volatility persistence	0.8438	47.94***

γ₁	-0.1080	-4.48***
γ₂	0.1677	4.93***
γ₃	-0.1053	-4.94***
γ₄	0.0845	4.34***
γ₅	-0.0503	-2.72***
γ₆	0.0100	0.62

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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