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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.1821	30.30***
β GARCH Volatility persistence	0.7683	84.39***
γ leverage Additional response to negative shocks	-0.1821	-21.32***
λ₁ tau intercept Baseline long-term coefficient	0.7277	1.02
λ₂ forecast adj. Forecast performance sensitivity	0.0181	1.19
λ₃ tau persistence Long-term factor persistence	0.9577	25.34***

V-Lab

CBOE Russell 2000 Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Russell 2000 Volatility Index Analyses