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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0000	0.16
β GARCH Volatility persistence	0.0000	0.04
γ leverage Additional response to negative shocks	0.4999	55.52***
λ₁ tau intercept Baseline long-term coefficient	0.0020	1.17
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.0338	0.04

V-Lab

PGIM S&P 500 Max Buffer ETF - December MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PGIM S&P 500 Max Buffer ETF - December Analyses