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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.1760	19.81***
β GARCH Volatility persistence	0.4524	21.39***
γ leverage Additional response to negative shocks	-0.0063	-0.43
λ₁ tau intercept Baseline long-term coefficient	7.2280	1.66*
λ₂ forecast adj. Forecast performance sensitivity	0.7871	8.71***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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CBOE EuroCurrency ETF Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE EuroCurrency ETF Volatility Index Analyses