CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6052	3.09***
α ARCH Response to squared shocks	0.3390	8.17***
β GARCH Volatility persistence	0.5667	15.72***

γ₁	0.2711	3.23***
γ₂	-0.4083	-3.47***
γ₃	0.2045	2.81***
γ₄	-0.1781	-2.61***
γ₅	0.1906	3.14***
γ₆	-0.0241	-0.42
γ₇	-0.0601	-0.90
γ₈	-0.0446	-0.81

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