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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0066	15.79***
β GARCH Volatility persistence	0.0052	167.29***
γ leverage Additional response to negative shocks	0.5000	15.84***
λ₁ tau intercept Baseline long-term coefficient	0.0000
λ₂ forecast adj. Forecast performance sensitivity	0.0350	17.87***
λ₃ tau persistence Long-term factor persistence	0.0000	10.00***

V-Lab

Gabelli Opportunities in Live and Sports ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gabelli Opportunities in Live and Sports ETF Analyses