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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1030	8.48***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.7467	34.54***
γ leverage Additional response to negative shocks	0.1955	4.34***

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Xtrackers S&P 100 Ex Top 20 ETF GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Xtrackers S&P 100 Ex Top 20 ETF Analyses