CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0414	12.65***
α ARCH Response to squared shocks	0.0310	10.57***
β GARCH Volatility persistence	0.9514	439.66***
γ leverage Additional response to negative shocks	0.0104	2.24**

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