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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	101
α ARCH Response to squared shocks	0.2538	34.17***
β GARCH Volatility persistence	0.5909	43.02***
γ leverage Additional response to negative shocks	-0.1024	-6.23***
λ₁ tau intercept Baseline long-term coefficient	4.9502	2.10**
λ₂ forecast adj. Forecast performance sensitivity	0.1967	4.85***
λ₃ tau persistence Long-term factor persistence	0.7814	15.46***

V-Lab

CBOE S&P 500 Left Tail Volatility Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 Left Tail Volatility Index Analyses