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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.5956	24.67***
γ leverage Additional response to negative shocks	0.2552	16.66***
λ₁ tau intercept Baseline long-term coefficient	0.4136	0.17
λ₂ forecast adj. Forecast performance sensitivity	0.3180	0.20
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Xtrackers S&P 100 Ex Top 20 ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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