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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8343	49.27***
γ leverage Additional response to negative shocks	0.1810	14.27***
λ₁ tau intercept Baseline long-term coefficient	0.2733	0.45
λ₂ forecast adj. Forecast performance sensitivity	0.0751	0.46
λ₃ tau persistence Long-term factor persistence	0.7282	1.24

V-Lab

Roundhill 100 0Dte Strgy ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Roundhill 100 0Dte Strgy ETF Analyses