CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0305	13.76***
α ARCH Response to squared shocks	0.0778	15.75***
β GARCH Volatility persistence	0.9056	208.23***
γ leverage Additional response to negative shocks	0.0754	2.97***
δ power Transformation power	1.5537	24.62***

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