CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0104	16.20***
α ARCH Response to squared shocks	0.1591	21.16***
β GARCH Volatility persistence	0.8046	257.23***
γ leverage Additional response to negative shocks	0.0726	5.18***

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