CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3709	5.06***
α ARCH Response to squared shocks	0.0930	5.29***
β GARCH Volatility persistence	0.7664	15.93***

γ₁	-0.0233	-0.12
γ₂	-0.1051	-0.36
γ₃	-0.0208	-0.10
γ₄	0.4721	2.30**
γ₅	-0.6867	-3.12***
γ₆	0.8187	3.68***
γ₇	-0.8491	-3.88***
γ₈	0.5173	3.07***

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Inversora Juramento Sa Zero Slope Spline-GARCH Volatility Analysis

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