CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

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CBOE Russell 2000 Volatility Index

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CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.9663
β GARCH Volatility persistence	0.0931
γ leverage Additional response to negative shocks	-0.4973
λ₁ tau intercept Baseline long-term coefficient	0.2362
λ₂ forecast adj. Forecast performance sensitivity	0.0524
λ₃ tau persistence Long-term factor persistence	0.0016

V-Lab

Horizon Small/Mid Cap Core Equity ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Horizon Small/Mid Cap Core Equity ETF Analyses