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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.5071	24.95***
β GARCH Volatility persistence	0.4184	21.32***
γ leverage Additional response to negative shocks	-0.5000	-24.35***
λ₁ tau intercept Baseline long-term coefficient	0.0685	0.24
λ₂ forecast adj. Forecast performance sensitivity	0.0096	0.79
λ₃ tau persistence Long-term factor persistence	0.9893	87.94***

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CBOE Amazon Volatility Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Amazon Volatility Index Analyses