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{name} Model Equation

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Param	Value	t-stat
ωconst	0.9375	4.89***
αARCH	0.1564	8.00***
βGARCH	0.8067	37.85***

γ₁	0.0252	2.11**
γ₂	-0.0372	-2.52**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9375	4.89***
α ARCH Response to squared shocks	0.1564	8.00***
β GARCH Volatility persistence	0.8067	37.85***

γ₁	0.0252	2.11**
γ₂	-0.0372	-2.52**

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