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Parameter	Value	t-statistic
ω const Unconditional variance weight	15.0000	25.61***
α ARCH Response to squared shocks	0.2250	49.23***
β GARCH Volatility persistence	0.7295	217.24***
γ leverage Additional response to negative shocks	-1.4932	-3.84***

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CBOE S&P 500 Left Tail Volatility Index AGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 Left Tail Volatility Index Analyses