CBOE Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0994	1.22
α ARCH Response to squared shocks	-0.0966	-1.67*
β GARCH Volatility persistence	0.8255	23.28***
γ leverage Additional response to negative shocks	-0.2468	-6.16***

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Global X Nasdaq-100 Income Edge ETF EGARCH Volatility Analysis

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