CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0068	5.34***
α ARCH Response to squared shocks	0.0407	4.78***
β GARCH Volatility persistence	0.9295	55.78***

γ₁	-0.0494	-2.49**
γ₂	0.0782	2.65***
γ₃	-0.0375	-1.89*
γ₄	0.0112	0.86

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