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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.4709	20.14***
β GARCH Volatility persistence	0.3845	18.20***
γ leverage Additional response to negative shocks	-0.4479	-18.18***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.05
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.8371	0.23

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CBOE IBM Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE IBM Volatility Index Analyses