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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0236	1.16
β GARCH Volatility persistence	0.9673	92.02***
γ leverage Additional response to negative shocks	-0.0072	-0.63
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.25
λ₂ forecast adj. Forecast performance sensitivity	0.0344	0.46
λ₃ tau persistence Long-term factor persistence	0.0000	0.34

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iShares Systematic Alternatives Active ETF MF2-GARCH Volatility Analysis

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