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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	0.2499	22.15***
β GARCH Volatility persistence	0.6869	43.63***
γ leverage Additional response to negative shocks	-0.1662	-11.92***
λ₁ tau intercept Baseline long-term coefficient	5.2063	0.97
λ₂ forecast adj. Forecast performance sensitivity	0.2272	1.06
λ₃ tau persistence Long-term factor persistence	0.7178	2.58***

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