CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0751	16.40***
β GARCH Volatility persistence	0.8243	87.90***
γ leverage Additional response to negative shocks	0.0513	6.84***
λ₁ tau intercept Baseline long-term coefficient	0.0322	2.67***
λ₂ forecast adj. Forecast performance sensitivity	0.0139	4.18***
λ₃ tau persistence Long-term factor persistence	0.9821	218.54***

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Pakistan Intl Bulk Terminal MF2-GARCH Volatility Analysis

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