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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0043	0.41
β GARCH Volatility persistence	0.7814	75.47***
γ leverage Additional response to negative shocks	0.2402	18.82***
λ₁ tau intercept Baseline long-term coefficient	0.0316	1.55
λ₂ forecast adj. Forecast performance sensitivity	0.0681	1.90*
λ₃ tau persistence Long-term factor persistence	0.8950	15.96***

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Proshares S&P 500 EX-Technology ETF MF2-GARCH Volatility Analysis

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