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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.2371	36.08***
β GARCH Volatility persistence	0.7331	49.59***
γ leverage Additional response to negative shocks	-0.2371	-26.19***
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	797.41***

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CBOE VIX Indicative Bid Index MF2-GARCH Volatility Analysis

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News Impact Curve

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