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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8794	305.45***
γ leverage Additional response to negative shocks	0.1533	46.00***
λ₁ tau intercept Baseline long-term coefficient	0.0060	6.04***
λ₂ forecast adj. Forecast performance sensitivity	0.0241	8.10***
λ₃ tau persistence Long-term factor persistence	0.9727	279.91***

V-Lab

iShares Russell 2000 ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares Russell 2000 ETF Analyses