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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.7839	14.16***
γ leverage Additional response to negative shocks	0.0939	4.70***
λ₁ tau intercept Baseline long-term coefficient	0.0348	0.08
λ₂ forecast adj. Forecast performance sensitivity	0.1101	1.17
λ₃ tau persistence Long-term factor persistence	0.8899	2.14**

V-Lab

Pacer Metaurus Nq100 DIV 600 MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pacer Metaurus Nq100 DIV 600 Analyses