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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0464	7.94***
β GARCH Volatility persistence	0.8535	179.50***
γ leverage Additional response to negative shocks	0.1414	24.33***
λ₁ tau intercept Baseline long-term coefficient	0.0905	1.35
λ₂ forecast adj. Forecast performance sensitivity	0.3475	1.30
λ₃ tau persistence Long-term factor persistence	0.5577	1.64

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CBOE VIX Tail Hedge Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE VIX Tail Hedge Index Analyses