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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	121
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9020	217.78***
γ leverage Additional response to negative shocks	0.0945	12.01***
λ₁ tau intercept Baseline long-term coefficient	0.0564	1.38
λ₂ forecast adj. Forecast performance sensitivity	0.4457	3.20***
λ₃ tau persistence Long-term factor persistence	0.5543	2.43**

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