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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	106
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8418	70.84***
γ leverage Additional response to negative shocks	0.1728	19.15***
λ₁ tau intercept Baseline long-term coefficient	1.4363	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Innovator Uncapped Accelerated US Equity ETF MF2-GARCH Volatility Analysis

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News Impact Curve

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