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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0378	19.15***
α ARCH Response to squared shocks	0.0453	6.30***
β GARCH Volatility persistence	0.8484	204.82***
γ leverage Additional response to negative shocks	0.1702	14.97***

V-Lab

iShares MSCI USA Momentum Factor ETF GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI USA Momentum Factor ETF Analyses