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Parameter	Value	t-statistic
m window Rolling window length	101
α ARCH Response to squared shocks	0.2549	34.33***
β GARCH Volatility persistence	0.5890	42.74***
γ leverage Additional response to negative shocks	-0.1036	-6.34***
λ₁ tau intercept Baseline long-term coefficient	4.9461	2.09**
λ₂ forecast adj. Forecast performance sensitivity	0.1969	4.84***
λ₃ tau persistence Long-term factor persistence	0.7812	15.40***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 Left Tail Volatility Index Analyses