CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.1524	16.84***
β GARCH Volatility persistence	0.6801	34.16***
γ leverage Additional response to negative shocks	-0.0392	-2.81***
λ₁ tau intercept Baseline long-term coefficient	0.1550	0.86
λ₂ forecast adj. Forecast performance sensitivity	0.0121	1.81*
λ₃ tau persistence Long-term factor persistence	0.9856	117.25***

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Unicap Modaraba MF2-GARCH Volatility Analysis

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