CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.4155	31.27***
β GARCH Volatility persistence	0.5207	44.36***
γ leverage Additional response to negative shocks	-0.1183	-7.16***
λ₁ tau intercept Baseline long-term coefficient	0.0009	2.30**
λ₂ forecast adj. Forecast performance sensitivity	0.0139	5.88***
λ₃ tau persistence Long-term factor persistence	0.9861	375.22***

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