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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	101
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.6578	57.21***
γ leverage Additional response to negative shocks	0.4665	34.07***
λ₁ tau intercept Baseline long-term coefficient	0.5808	0.57
λ₂ forecast adj. Forecast performance sensitivity	0.0186	0.84
λ₃ tau persistence Long-term factor persistence	0.9503	12.52***

V-Lab

-1x Short VIX Futures ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other -1x Short VIX Futures ETF Analyses