CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8412	6.78***
α ARCH Response to squared shocks	0.1041	10.51***
β GARCH Volatility persistence	0.7877	68.05***
γ leverage Additional response to negative shocks	-0.0214	-1.05
δ power Transformation power	2.6193	16.75***

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