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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8111	79.08***
γ leverage Additional response to negative shocks	0.1358	18.24***
λ₁ tau intercept Baseline long-term coefficient	0.1404	1.11
λ₂ forecast adj. Forecast performance sensitivity	0.3294	1.33
λ₃ tau persistence Long-term factor persistence	0.5736	1.67*

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iShares Core US REIT ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares Core US REIT ETF Analyses