CBOE Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0919	1.83*
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.0314	1.67*
λ₁ tau intercept Baseline long-term coefficient	0.5474	0.19
λ₂ forecast adj. Forecast performance sensitivity	0.3347	0.23
λ₃ tau persistence Long-term factor persistence	0.4953	0.21

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