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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9333	7.93***
α ARCH Response to squared shocks	0.0633	1.61
β GARCH Volatility persistence	0.0000	0.00

γ₁	0.0484	1.22
γ₂	-0.0969	-1.53
γ₃	0.0868	1.70*
γ₄	-0.0552	-1.49

V-Lab

CBOE Realized Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Realized Volatility Index Analyses