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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0169	1.95*
β GARCH Volatility persistence	0.3172	3.42***
γ leverage Additional response to negative shocks	0.5000	15.52***
λ₁ tau intercept Baseline long-term coefficient	7.9812	0.23
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

CBOE Realized Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Realized Volatility Index Analyses