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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0436	11.05***
β GARCH Volatility persistence	0.9581	34.42***
γ leverage Additional response to negative shocks	-0.0436	-5.53***
λ₁ tau intercept Baseline long-term coefficient	0.1599	0.18
λ₂ forecast adj. Forecast performance sensitivity	0.1125	2.45**
λ₃ tau persistence Long-term factor persistence	0.7556	1.26

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TDAQ Lift ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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