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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	0.0209	7.58***
β GARCH Volatility persistence	0.8918	214.43***
γ leverage Additional response to negative shocks	0.0945	26.85***
λ₁ tau intercept Baseline long-term coefficient	0.0081	5.32***
λ₂ forecast adj. Forecast performance sensitivity	0.0242	6.14***
λ₃ tau persistence Long-term factor persistence	0.9738	226.45***

V-Lab

iShares Semiconductor ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares Semiconductor ETF Analyses