CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.1407	34.51***
β GARCH Volatility persistence	0.7909	195.61***
γ leverage Additional response to negative shocks	0.0813	13.09***
λ₁ tau intercept Baseline long-term coefficient	0.0419	7.56***
λ₂ forecast adj. Forecast performance sensitivity	0.5374	11.19***
λ₃ tau persistence Long-term factor persistence	0.4286	7.85***

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