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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8550	84.20***
γ leverage Additional response to negative shocks	0.1352	13.12***
λ₁ tau intercept Baseline long-term coefficient	0.1421	0.56
λ₂ forecast adj. Forecast performance sensitivity	0.0092	0.36
λ₃ tau persistence Long-term factor persistence	0.8908	4.92***

V-Lab

Morgan Stanley PHY SM MD ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Morgan Stanley PHY SM MD ETF Analyses