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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0464	14.07***
β GARCH Volatility persistence	0.8237	117.60***
γ leverage Additional response to negative shocks	0.1253	21.79***
λ₁ tau intercept Baseline long-term coefficient	0.0128	5.65***
λ₂ forecast adj. Forecast performance sensitivity	0.0489	4.63***
λ₃ tau persistence Long-term factor persistence	0.9434	77.43***

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iShares Select U.S. REIT ETF MF2-GARCH Volatility Analysis

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