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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	0.2073	44.50***
β GARCH Volatility persistence	0.7472	102.51***
γ leverage Additional response to negative shocks	-0.2073	-29.59***
λ₁ tau intercept Baseline long-term coefficient	0.0450	1.46
λ₂ forecast adj. Forecast performance sensitivity	0.0045	3.51***
λ₃ tau persistence Long-term factor persistence	0.9944	553.39***

V-Lab

CBOE Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Volatility Index Analyses