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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1759	26.72***
β GARCH Volatility persistence	0.7723	85.37***
γ leverage Additional response to negative shocks	-0.1408	-16.23***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.02
λ₃ tau persistence Long-term factor persistence	0.9999	1,691.80***

V-Lab

CBOE S&P 500 Constituent Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 Constituent Volatility Index Analyses