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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	0.2494	2.56**
β GARCH Volatility persistence	0.0730	2.23**
γ leverage Additional response to negative shocks	-0.2494	-2.31**
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.15
λ₂ forecast adj. Forecast performance sensitivity	0.0220	0.24
λ₃ tau persistence Long-term factor persistence	0.9617	5.19***

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