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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8161	134.30***
γ leverage Additional response to negative shocks	0.2453	32.28***
λ₁ tau intercept Baseline long-term coefficient	0.0191	2.98***
λ₂ forecast adj. Forecast performance sensitivity	0.1232	2.57**
λ₃ tau persistence Long-term factor persistence	0.8615	16.06***

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Invesco S&P 500 Quality ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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