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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8722	78.69***
γ leverage Additional response to negative shocks	0.1140	14.17***
λ₁ tau intercept Baseline long-term coefficient	0.4130	0.19
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.7429	0.57

V-Lab

SEI Select Small CAP ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other SEI Select Small CAP ETF Analyses