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{name} Model Equation

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Param	Value	t-stat
mwindow	21
αARCH	0.6106
βGARCH	0.2854
γleverage	0.1678
λ₁tau intercept	0.0000
λ₂forecast adj.	0.0000
λ₃tau persistence	0.0000

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.6106
β GARCH Volatility persistence	0.2854
γ leverage Additional response to negative shocks	0.1678
λ₁ tau intercept Baseline long-term coefficient	0.0000
λ₂ forecast adj. Forecast performance sensitivity	0.0000
λ₃ tau persistence Long-term factor persistence	0.0000

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