CBOE Volatility Index

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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	0.1820	30.26***
β GARCH Volatility persistence	0.7690	84.54***
γ leverage Additional response to negative shocks	-0.1819	-21.26***
λ₁ tau intercept Baseline long-term coefficient	0.7186	1.03
λ₂ forecast adj. Forecast performance sensitivity	0.0179	1.20
λ₃ tau persistence Long-term factor persistence	0.9582	25.79***

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CBOE Russell 2000 Volatility Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Russell 2000 Volatility Index Analyses