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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0200	8.21***
β GARCH Volatility persistence	0.8450	284.13***
γ leverage Additional response to negative shocks	0.1536	42.96***
λ₁ tau intercept Baseline long-term coefficient	0.0011	5.88***
λ₂ forecast adj. Forecast performance sensitivity	0.0139	13.47***
λ₃ tau persistence Long-term factor persistence	0.9855	898.34***

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Russell 2000 Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Russell 2000 Index Analyses