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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0000	0.02
β GARCH Volatility persistence	0.6672	347.16***
γ leverage Additional response to negative shocks	0.5000	45.40***
λ₁ tau intercept Baseline long-term coefficient	0.0000	1.00
λ₂ forecast adj. Forecast performance sensitivity	0.1390	18.01***
λ₃ tau persistence Long-term factor persistence	0.0009	0.02

V-Lab

Ishares S&P 500 EX S&P 1 ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ishares S&P 500 EX S&P 1 ETF Analyses