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	0.0566	3.40***
α ARCH Response to squared shocks	0.1436	11.59***
β GARCH Volatility persistence	0.8329	39.34***
γ leverage Additional response to negative shocks	0.1472	1.34
δ power Transformation power	0.5000	2.80***

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Horizon Kinetics JPN QWN OPR Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Horizon Kinetics JPN QWN OPR Analyses