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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0194	8.25***
β GARCH Volatility persistence	0.8569	215.47***
γ leverage Additional response to negative shocks	0.1015	28.64***
λ₁ tau intercept Baseline long-term coefficient	0.1017	3.01***
λ₂ forecast adj. Forecast performance sensitivity	0.3724	10.68***
λ₃ tau persistence Long-term factor persistence	0.6031	13.16***

V-Lab

iShares MSCI South Korea ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI South Korea ETF Analyses