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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.1811	30.84***
β GARCH Volatility persistence	0.8984	174.18***
γ leverage Additional response to negative shocks	-0.1595	-14.10***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.25
λ₂ forecast adj. Forecast performance sensitivity	1.0000	0.24
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Defiance OIL Enhanced OP ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Defiance OIL Enhanced OP ETF Analyses