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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.0000	0.15
β GARCH Volatility persistence	0.0000
γ leverage Additional response to negative shocks	0.5000	32.72***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.01
λ₂ forecast adj. Forecast performance sensitivity	0.1327	38.96***
λ₃ tau persistence Long-term factor persistence	0.0000	0.11

V-Lab

Columbia Research Enhanced Small Cap ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Columbia Research Enhanced Small Cap ETF Analyses