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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	15.75***
α ARCH Response to squared shocks	0.1036	26.31***
β GARCH Volatility persistence	0.8793	224.76***

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 Left Tail Volatility Index Analyses