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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.2078	30.83***
β GARCH Volatility persistence	0.6925	47.76***
γ leverage Additional response to negative shocks	-0.1700	-22.19***
λ₁ tau intercept Baseline long-term coefficient	1.2626	1.22
λ₂ forecast adj. Forecast performance sensitivity	0.0635	1.54
λ₃ tau persistence Long-term factor persistence	0.8985	12.62***

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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