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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	0.2522	2.65***
β GARCH Volatility persistence	0.0772	2.35**
γ leverage Additional response to negative shocks	-0.2522	-2.38**
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.16
λ₂ forecast adj. Forecast performance sensitivity	0.0232	0.25
λ₃ tau persistence Long-term factor persistence	0.9608	5.29***

V-Lab

CBOE 1-Day Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE 1-Day Volatility Index Analyses