CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7622	2.24**
α ARCH Response to squared shocks	0.4704	5.75***
β GARCH Volatility persistence	0.3013	3.08***

γ₁	-2.5805	-2.73***
γ₂	2.7225	1.77*
γ₃	0.5810	0.49
γ₄	-2.0597	-2.00**
γ₅	2.4427	2.09**
γ₆	-1.6409	-1.44
γ₇	1.1911	1.08
γ₈	-1.1764	-1.20
γ₉	1.3333	1.83*
γ₁₀	-2.7399	-2.01**

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Caracas Stock Exchange Stock Market Index Spline-GARCH Volatility Analysis

Date Range:

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