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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	0.8408	232.64***
γ leverage Additional response to negative shocks	0.2074	44.46***
λ₁ tau intercept Baseline long-term coefficient	0.0267	5.39***
λ₂ forecast adj. Forecast performance sensitivity	0.1312	6.69***
λ₃ tau persistence Long-term factor persistence	0.8435	35.62***

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iShares Russell 3000 ETF MF2-GARCH Volatility Analysis

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