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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.5000	93.74***
β GARCH Volatility persistence	0.0000	1.43
γ leverage Additional response to negative shocks	-0.5000	-93.76***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.14
λ₂ forecast adj. Forecast performance sensitivity	0.2605	9.00***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Sterling Capital Multi-Strategy Income ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sterling Capital Multi-Strategy Income ETF Analyses