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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	0.8386	176.22***
γ leverage Additional response to negative shocks	0.1840	42.11***
λ₁ tau intercept Baseline long-term coefficient	0.0094	6.92***
λ₂ forecast adj. Forecast performance sensitivity	0.0425	5.98***
λ₃ tau persistence Long-term factor persistence	0.9523	123.83***

V-Lab

Invesco QQQ Trust Series 1 MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco QQQ Trust Series 1 Analyses