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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.2445	36.72***
β GARCH Volatility persistence	0.7330	52.99***
γ leverage Additional response to negative shocks	-0.2445	-28.07***
λ₁ tau intercept Baseline long-term coefficient	0.2922	0.81
λ₂ forecast adj. Forecast performance sensitivity	0.0038	1.22
λ₃ tau persistence Long-term factor persistence	0.9913	111.03***

V-Lab

CBOE VIX Indicative Bid Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE VIX Indicative Bid Index Analyses