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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	0.3419	19.97***
β GARCH Volatility persistence	0.1126	6.87***
γ leverage Additional response to negative shocks	0.0164	0.53
λ₁ tau intercept Baseline long-term coefficient	0.7791	0.39
λ₂ forecast adj. Forecast performance sensitivity	0.0210	0.63
λ₃ tau persistence Long-term factor persistence	0.9668	17.08***

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CBOE Google Volatility Index MF2-GARCH Volatility Analysis

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