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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.3602	43.55***
β GARCH Volatility persistence	0.6947	98.83***
γ leverage Additional response to negative shocks	-0.3001	-18.81***
λ₁ tau intercept Baseline long-term coefficient	6.5423	0.51
λ₂ forecast adj. Forecast performance sensitivity	0.0524	0.60
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

CBOE S&P 500 One-Year Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 One-Year Volatility Index Analyses