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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.5000	519.21***
β GARCH Volatility persistence	0.4799	230.92***
γ leverage Additional response to negative shocks	-0.5000	-207.13***
λ₁ tau intercept Baseline long-term coefficient	1.1130	5.81***
λ₂ forecast adj. Forecast performance sensitivity	1.0000	4.77***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

T Rowe Price Active Core International Equity ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other T Rowe Price Active Core International Equity ETF Analyses