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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0354	11.60***
β GARCH Volatility persistence	0.8426	195.64***
γ leverage Additional response to negative shocks	0.1372	27.48***
λ₁ tau intercept Baseline long-term coefficient	0.0133	8.74***
λ₂ forecast adj. Forecast performance sensitivity	0.0661	7.32***
λ₃ tau persistence Long-term factor persistence	0.9250	90.71***

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iShares US Real Estate ETF MF2-GARCH Volatility Analysis

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News Impact Curve

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