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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	96
α ARCH Response to squared shocks	0.0000	0.01
β GARCH Volatility persistence	0.9259	111.01***
γ leverage Additional response to negative shocks	0.0678	11.33***
λ₁ tau intercept Baseline long-term coefficient	0.0514	0.08
λ₂ forecast adj. Forecast performance sensitivity	0.5463	0.08
λ₃ tau persistence Long-term factor persistence	0.4537	0.06

V-Lab

Invesco QQQ LOW Vltility ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco QQQ LOW Vltility ETF Analyses