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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	0.2941	36.02***
β GARCH Volatility persistence	0.6670	57.29***
γ leverage Additional response to negative shocks	-0.2941	-29.95***
λ₁ tau intercept Baseline long-term coefficient	0.3961	0.65
λ₂ forecast adj. Forecast performance sensitivity	0.0040	1.09
λ₃ tau persistence Long-term factor persistence	0.9890	70.11***

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