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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.8154	91.73***
β GARCH Volatility persistence	0.0046	18.30***
γ leverage Additional response to negative shocks	0.2957	16.79***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0004	0.06
λ₃ tau persistence Long-term factor persistence	0.0036	3.14***

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

Other Portfolio Building Block Integrated Oil Gas Exploration & Production Index ETF Analyses