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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0125	2.37**
β GARCH Volatility persistence	0.9109	442.60***
γ leverage Additional response to negative shocks	0.1433	329.43***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.50
λ₂ forecast adj. Forecast performance sensitivity	0.0726	35.75***
λ₃ tau persistence Long-term factor persistence	0.0000	2.50**

V-Lab

Portfolio Building Block Integrated Oil Gas Exploration & Production Index ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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