CBOE Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0426	12.63***
α ARCH Response to squared shocks	0.0322	10.73***
β GARCH Volatility persistence	0.9501	428.94***
γ leverage Additional response to negative shocks	0.0097	2.06**

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