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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	0.1687	18.15***
β GARCH Volatility persistence	0.6939	39.96***
γ leverage Additional response to negative shocks	-0.1687	-9.08***
λ₁ tau intercept Baseline long-term coefficient	0.8593	0.41
λ₂ forecast adj. Forecast performance sensitivity	0.0058	0.69
λ₃ tau persistence Long-term factor persistence	0.9886	47.58***

V-Lab

CBOE S&P 500 9-Day Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 9-Day Volatility Index Analyses