CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0776	13.89***
α ARCH Response to squared shocks	0.2717	16.15***
β GARCH Volatility persistence	0.6514	76.55***
γ leverage Additional response to negative shocks	0.1285	4.75***

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