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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.2934	35.93***
β GARCH Volatility persistence	0.6673	57.09***
γ leverage Additional response to negative shocks	-0.2934	-29.63***
λ₁ tau intercept Baseline long-term coefficient	0.3951	0.66
λ₂ forecast adj. Forecast performance sensitivity	0.0041	1.11
λ₃ tau persistence Long-term factor persistence	0.9889	71.10***

V-Lab

CBOE VIX Indicative Ask Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE VIX Indicative Ask Index Analyses