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	0.0523	11.69***
α ARCH Response to squared shocks	0.2666	22.73***
β GARCH Volatility persistence	0.7051	67.97***
γ leverage Additional response to negative shocks	0.2741	10.71***
δ power Transformation power	0.5000	5.15***

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Goldman Sachs Nasdaq-100 Premium Income ETF Asy. Power MEM Volatility Analysis

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