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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9412	4.86***
α ARCH Response to squared shocks	0.1563	7.98***
β GARCH Volatility persistence	0.8072	37.79***

γ₁	0.0255	2.11**
γ₂	-0.0378	-2.51**

V-Lab

iShares MSCI USA Momentum Factor ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI USA Momentum Factor ETF Analyses