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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	0.6107	25.89***
γ leverage Additional response to negative shocks	0.2424	15.99***
λ₁ tau intercept Baseline long-term coefficient	0.4133	0.16
λ₂ forecast adj. Forecast performance sensitivity	0.3161	0.19
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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Xtrackers S&P 100 Ex Top 20 ETF Analyses