CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6380	3.14***
α ARCH Response to squared shocks	0.3390	8.12***
β GARCH Volatility persistence	0.5675	15.77***

γ₁	0.2841	3.42***
γ₂	-0.4299	-3.69***
γ₃	0.2197	3.03***
γ₄	-0.1903	-2.79***
γ₅	0.2011	3.31***
γ₆	-0.0356	-0.61
γ₇	-0.0421	-0.57
γ₈	-0.0859	-0.89

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