CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.3190	5.82***
α ARCH Response to squared shocks	0.1928	11.13***
β GARCH Volatility persistence	0.7921	49.61***

γ₁	0.0911	2.14**
γ₂	-0.1754	-2.67***
γ₃	0.2644	4.71***

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Bangladesh Dhaka Stock Exchange Broad Index Spline-GARCH Volatility Analysis

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