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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	111
α ARCH Response to squared shocks	0.2824	64.62***
β GARCH Volatility persistence	0.7635	34.86***
γ leverage Additional response to negative shocks	-0.1482	-3.93***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.01
λ₂ forecast adj. Forecast performance sensitivity	0.0500	0.13
λ₃ tau persistence Long-term factor persistence	0.0000	0.16

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Pacer S&P M 400 Q FCF AR ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pacer S&P M 400 Q FCF AR ETF Analyses