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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	0.0004	13.27***
β GARCH Volatility persistence	0.7496	2.00**
γ leverage Additional response to negative shocks	0.5000	0.90
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.2361	0.35

V-Lab

Twin Oak Strategic Solutions ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Twin Oak Strategic Solutions ETF Analyses