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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8082	22.60***
γ leverage Additional response to negative shocks	0.1008	5.18***
λ₁ tau intercept Baseline long-term coefficient	0.0271	0.21
λ₂ forecast adj. Forecast performance sensitivity	0.1221	0.69
λ₃ tau persistence Long-term factor persistence	0.8779	3.51***

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Jpmorgan Actv DVP MRS EQ ETF MF2-GARCH Volatility Analysis

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