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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	0.8404	232.87***
γ leverage Additional response to negative shocks	0.2084	44.70***
λ₁ tau intercept Baseline long-term coefficient	0.0260	5.44***
λ₂ forecast adj. Forecast performance sensitivity	0.1276	6.75***
λ₃ tau persistence Long-term factor persistence	0.8477	37.11***

V-Lab

iShares Russell 3000 ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares Russell 3000 ETF Analyses