CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0321	14.83***
α ARCH Response to squared shocks	0.0809	21.21***
β GARCH Volatility persistence	0.8723	160.23***
γ leverage Additional response to negative shocks	0.1074	2.56**

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