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	0.1103	5.00***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9056	12.38***
γ leverage Additional response to negative shocks	0.0601	0.60

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Global X Nasdaq-100 Income Edge ETF GJR-GARCH Volatility Analysis

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