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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0000	0.01
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.1920	3.52***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.6319	3.62***
λ₃ tau persistence Long-term factor persistence	0.0234	0.07

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Leverage Shares 2X Long NIO Daily ETF MF2-GARCH Volatility Analysis

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