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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8725	203.19***
γ leverage Additional response to negative shocks	0.1196	13.10***
λ₁ tau intercept Baseline long-term coefficient	0.1436	0.65
λ₂ forecast adj. Forecast performance sensitivity	0.0221	1.91*
λ₃ tau persistence Long-term factor persistence	0.8752	5.34***

V-Lab

Morgan Stanley PHY SM MD ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Morgan Stanley PHY SM MD ETF Analyses