CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1423	5.00***
α ARCH Response to squared shocks	0.0588	4.34***
β GARCH Volatility persistence	0.8512	22.18***

γ₁	0.0691	0.68
γ₂	-0.2588	-1.41
γ₃	0.4527	2.57**
γ₄	-0.4957	-2.72***
γ₅	0.3502	2.06**
γ₆	-0.1091	-0.68
γ₇	-0.0025	-0.02
γ₈	-0.0693	-0.58
γ₉	0.1760	1.90*
γ₁₀	-0.1855	-2.89***

V-Lab

Camtek Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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