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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	106
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8494	48.77***
γ leverage Additional response to negative shocks	0.1833	14.97***
λ₁ tau intercept Baseline long-term coefficient	0.7437	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Defiance S&P 500 TRG Inc ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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