CBOE Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	0.4034	3.72***
αARCH	0.1591	2.99***
βGARCH	0.4769	2.52**

γ₁	-11.2269	-1.14
γ₂	13.0501	0.92
γ₃	1.1989	0.14
γ₄	-7.5276	-0.76
γ₅	18.8855	1.50
γ₆	-40.6152	-2.77***
γ₇	64.1649	4.29***
γ₈	-78.7071	-5.00***
γ₉	57.9018	4.40***
γ₁₀	-16.9640	-2.56**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4034	3.72***
α ARCH Response to squared shocks	0.1591	2.99***
β GARCH Volatility persistence	0.4769	2.52**

γ₁	-11.2269	-1.14
γ₂	13.0501	0.92
γ₃	1.1989	0.14
γ₄	-7.5276	-0.76
γ₅	18.8855	1.50
γ₆	-40.6152	-2.77***
γ₇	64.1649	4.29***
γ₈	-78.7071	-5.00***
γ₉	57.9018	4.40***
γ₁₀	-16.9640	-2.56**

V-Lab

Principal Focused Blue Chip ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Principal Focused Blue Chip ETF Analyses