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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.5072	24.97***
β GARCH Volatility persistence	0.4172	21.24***
γ leverage Additional response to negative shocks	-0.5000	-24.35***
λ₁ tau intercept Baseline long-term coefficient	0.0707	0.24
λ₂ forecast adj. Forecast performance sensitivity	0.0096	0.79
λ₃ tau persistence Long-term factor persistence	0.9893	87.38***

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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