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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.2079	30.94***
β GARCH Volatility persistence	0.6932	47.89***
γ leverage Additional response to negative shocks	-0.1720	-22.53***
λ₁ tau intercept Baseline long-term coefficient	1.2649	1.21
λ₂ forecast adj. Forecast performance sensitivity	0.0646	1.53
λ₃ tau persistence Long-term factor persistence	0.8973	12.39***

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CBOE Goldman Sachs Volatility Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Goldman Sachs Volatility Index Analyses