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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.7831	85.53***
γ leverage Additional response to negative shocks	0.2538	28.70***
λ₁ tau intercept Baseline long-term coefficient	0.0594	1.68*
λ₂ forecast adj. Forecast performance sensitivity	0.1621	1.61
λ₃ tau persistence Long-term factor persistence	0.7876	5.92***

V-Lab

Goldman Sachs Equal Weight US Large Cap Equity ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Goldman Sachs Equal Weight US Large Cap Equity ETF Analyses