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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.3075	39.52***
β GARCH Volatility persistence	0.7448	95.62***
γ leverage Additional response to negative shocks	-0.3075	-27.87***
λ₁ tau intercept Baseline long-term coefficient	0.3923	1.32
λ₂ forecast adj. Forecast performance sensitivity	0.0166	1.44
λ₃ tau persistence Long-term factor persistence	0.9454	23.90***

V-Lab

CBOE S&P 500 6-Month Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 6-Month Volatility Index Analyses