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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.2539	2.74***
β GARCH Volatility persistence	0.0857	2.55**
γ leverage Additional response to negative shocks	-0.2539	-2.45**
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.16
λ₂ forecast adj. Forecast performance sensitivity	0.0239	0.26
λ₃ tau persistence Long-term factor persistence	0.9602	5.38***

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CBOE 1-Day Volatility Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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