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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	5.51***
α ARCH Response to squared shocks	0.1748	29.65***
β GARCH Volatility persistence	0.8239	135.78***
γ leverage Additional response to negative shocks	-0.0152	-0.41
δ power Transformation power	1.1208	19.23***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 Left Tail Volatility Index Analyses