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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.2093	24.34***
β GARCH Volatility persistence	0.7206	44.22***
γ leverage Additional response to negative shocks	-0.2093	-24.34***
λ₁ tau intercept Baseline long-term coefficient	0.7116	0.38
λ₂ forecast adj. Forecast performance sensitivity	0.0113	0.50
λ₃ tau persistence Long-term factor persistence	0.9731	15.81***

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CBOE Apple Volatility Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Apple Volatility Index Analyses