CBOE Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6088	4.91***
α ARCH Response to squared shocks	0.1454	10.35***
β GARCH Volatility persistence	0.8112	42.35***

γ₁	-0.0165	-3.74***
γ₂	0.0215	3.55***
γ₃	-0.0055	-2.04**

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