CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	-0.0263	-3.83***
α ARCH Response to squared shocks	0.3248	33.42***
β GARCH Volatility persistence	0.9301	137.95***
γ leverage Additional response to negative shocks	-0.0449	-4.27***

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