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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	106
α ARCH Response to squared shocks	0.0582	11.30***
β GARCH Volatility persistence	0.8220	119.52***
γ leverage Additional response to negative shocks	0.0804	11.12***
λ₁ tau intercept Baseline long-term coefficient	0.1401	0.71
λ₂ forecast adj. Forecast performance sensitivity	0.2184	0.65
λ₃ tau persistence Long-term factor persistence	0.7197	1.70*

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Renaissance International IPO ETF MF2-GARCH Volatility Analysis

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News Impact Curve

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