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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.2493	22.22***
β GARCH Volatility persistence	0.6874	43.82***
γ leverage Additional response to negative shocks	-0.1664	-11.98***
λ₁ tau intercept Baseline long-term coefficient	5.2814	0.95
λ₂ forecast adj. Forecast performance sensitivity	0.2304	1.03
λ₃ tau persistence Long-term factor persistence	0.7131	2.46**

V-Lab

CBOE EFA ETF Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE EFA ETF Volatility Index Analyses