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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.3394	19.83***
β GARCH Volatility persistence	0.1122	6.78***
γ leverage Additional response to negative shocks	0.0092	0.30
λ₁ tau intercept Baseline long-term coefficient	0.7968	0.38
λ₂ forecast adj. Forecast performance sensitivity	0.0208	0.61
λ₃ tau persistence Long-term factor persistence	0.9666	16.41***

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CBOE Google Volatility Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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