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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	279.5504	5.05***
α ARCH Response to squared shocks	0.1062	32.76***
β GARCH Volatility persistence	0.9761	216.34***
ν DF Student-t tail thickness	3.8518	14.20***

V-Lab

CBOE S&P 500 Left Tail Volatility Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE S&P 500 Left Tail Volatility Index Analyses