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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.0000	0.01
β GARCH Volatility persistence	0.5157	110.73***
γ leverage Additional response to negative shocks	0.5000	112.84***
λ₁ tau intercept Baseline long-term coefficient	0.0169	1.98**
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.1743	0.47

V-Lab

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

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News Impact Curve

Volatility Forecast

Parameter Estimates

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