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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2079	44.60***
β GARCH Volatility persistence	0.7468	102.62***
γ leverage Additional response to negative shocks	-0.2079	-29.79***
λ₁ tau intercept Baseline long-term coefficient	0.0451	1.47
λ₂ forecast adj. Forecast performance sensitivity	0.0045	3.50***
λ₃ tau persistence Long-term factor persistence	0.9945	555.57***

V-Lab

CBOE Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Volatility Index Analyses