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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	0.2101	24.45***
β GARCH Volatility persistence	0.7209	44.49***
γ leverage Additional response to negative shocks	-0.2101	-24.46***
λ₁ tau intercept Baseline long-term coefficient	0.6810	0.41
λ₂ forecast adj. Forecast performance sensitivity	0.0121	0.54
λ₃ tau persistence Long-term factor persistence	0.9729	16.94***

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CBOE Apple Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Apple Volatility Index Analyses